Snell envelope with small probability criteria (Q1935508)

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Snell envelope with small probability criteria
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    title
    Snell envelope with small probability criteria (English)
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    author
    Pierre Del Moral
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    Peng Hu
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    Nadia Oudjane
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    publication date
    18 February 2013
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    Mathematics Subject Classification ID
    93E25
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    93E03
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    91E10
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    zbMATH DE Number
    6136949
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    zbMATH Keywords
    Snell envelope
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    American option
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    Bermudan option
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    stochastic mesh
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    particle methods
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    rare events
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