A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406)
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scientific article; zbMATH DE number 6751209
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A PRIMAL–DUAL ALGORITHM FOR BSDES |
scientific article; zbMATH DE number 6751209 |
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A PRIMAL–DUAL ALGORITHM FOR BSDES (English)
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21 July 2017
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BSDE
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numerical approximation
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Monte Carlo
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option pricing
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