Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
DOI10.1051/proc/201965294zbMath1417.91550arXiv1712.07383OpenAlexW3022852817MaRDI QIDQ4967878
Ahmed Sid-Ali, Bruno Bouchard, Arij Manai, K. W. Chau
Publication date: 11 July 2019
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.07383
viscosity solutionAmerican optionsBSDEbranching methodsemilinear Black and Scholes partial differential equation
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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