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

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Latest revision as of 07:18, 14 July 2024

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