On Backward Stochastic Differential Equations Approach to Valuation of American Options (Q3100574): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Backward Stochastic Differential Equations Approach to Valuation of American Options |
scientific article |
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On Backward Stochastic Differential Equations Approach to Valuation of American Options (English)
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24 November 2011
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backward stochastic differential equation
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obstacle problem
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American option
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