Valuing American options by simulation: a BSDEs approach

DOI10.1016/j.matcom.2015.11.009OpenAlexW2200863298WikidataQ108524134 ScholiaQ108524134MaRDI QIDQ2228772

Andrzej Rozkosz, Bartosz Ziemkiewicz, Tomasz Klimsiak

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2015.11.009

zbMATH Keywords

numerical approximationbackward stochastic differential equationobstacle problemAmerican option

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Parabolic equations and parabolic systems (35Kxx)

Related Items (3)

A new method of valuing American options based on Brownian models ⋮ A new approach for pricing discounted American options ⋮ Perpetual game options with a multiplied penalty

Cites Work

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• The early exercise premium representation for American options on multiply assets
• Variational inequalities and the pricing of American options
• Convergence of solutions of discrete reflected backward SDE's and simulations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
• On Backward Stochastic Differential Equations Approach to Valuation of American Options
• Probability with Martingales
• Donsker-type theorem for BSDEs

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