An FBSDE approach to American option pricing with an interacting particle method (Q2013320): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / arXiv ID
 
Property / arXiv ID: 1211.5867 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A semilinear Black and Scholes partial differential equation for valuing American options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5505177 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5547841 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Derivative pricing under asymmetric and imperfect collateralization and CVA / rank
 
Normal rank
Property / cites work
 
Property / cites work: ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME / rank
 
Normal rank
Property / cites work
 
Property / cites work: On branching Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fundamental equations of branching Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Branching Markov processes. I / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Stopping and the American Put / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4368791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On validity of the asymptotic expansion approach in contingent claim analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Asymptotic Expansion with Push-Down of Malliavin Weights / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward stochastic differential equations and their applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic Treatment of the Blowing up of Solutions for a Nonlinear Integral Equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: An asymptotic expansion approach to pricing financial contingent claims / rank
 
Normal rank

Latest revision as of 06:18, 14 July 2024

scientific article
Language Label Description Also known as
English
An FBSDE approach to American option pricing with an interacting particle method
scientific article

    Statements

    An FBSDE approach to American option pricing with an interacting particle method (English)
    0 references
    0 references
    0 references
    0 references
    17 August 2017
    0 references
    BSDE
    0 references
    FBSDE
    0 references
    asymptotic expansion
    0 references
    perturbation
    0 references
    particle method
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references