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

@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+A semilinear Black and Scholes partial differential equation for valuing American options
+Normal rank
@@ Property / cites work @@
+Q5505177
@@ Property / cites work: Q5505177 / rank @@
+Normal rank
@@ Property / cites work @@
+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Q5547841
@@ Property / cites work: Q5547841 / rank @@
+Normal rank
@@ Property / cites work @@
+Derivative pricing under asymmetric and imperfect collateralization and CVA
+Normal rank
@@ Property / cites work @@
+ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
+Normal rank
@@ Property / cites work @@
+On branching Markov processes
@@ Property / cites work: On branching Markov processes / rank @@
+Normal rank
@@ Property / cites work @@
+Fundamental equations of branching Markov processes
+Normal rank
@@ Property / cites work @@
+Branching Markov processes. I
@@ Property / cites work: Branching Markov processes. I / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+On validity of the asymptotic expansion approach in contingent claim analysis
+Normal rank
@@ Property / cites work @@
+An Asymptotic Expansion with Push-Down of Malliavin Weights
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
+Normal rank
@@ Property / cites work @@
+Probabilistic Treatment of the Blowing up of Solutions for a Nonlinear Integral Equation
+Normal rank
@@ Property / cites work @@
+THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion approach to pricing financial contingent claims
+Normal rank