Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view (Q4967878)
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scientific article; zbMATH DE number 7079340
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view |
scientific article; zbMATH DE number 7079340 |
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Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view (English)
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11 July 2019
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American options
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viscosity solution
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semilinear Black and Scholes partial differential equation
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branching method
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BSDE
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