Modifications of the PCPT Method for HJB Equations.

In this paper we will revisit the modification of the piecewise constant policy timestepping (PCPT) method for solving Hamilton-Jacobi-Bellman (HJB) equations. This modification is called piecewise predicted policy timestepping (PPPT) method and if properly used, it may be significantly faster. We will quickly recapitulate the algorithms of PCPT, PPPT methods and of the classical implicit method and apply them on a passport option pricing problem with non-standard payoff. We will present modifications needed to solve this problem effectively with the PPPT method and compare the performance with the PCPT method and the classical implicit method. [ABSTRACT FROM AUTHOR]