An FBSDE approach to American option pricing with an interacting particle method (Q2013320): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1007/s10690-014-9195-6 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1007/S10690-014-9195-6 / rank | |||
Normal rank | |||
Latest revision as of 18:42, 16 December 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
17 August 2017
0 references
BSDE
0 references
FBSDE
0 references
asymptotic expansion
0 references
perturbation
0 references
particle method
0 references
0 references
0 references
0 references
