An FBSDE approach to American option pricing with an interacting particle method

DOI10.1007/S10690-014-9195-6zbMath1368.91181arXiv1211.5867OpenAlexW3125080487MaRDI QIDQ2013320

Seisho Sato, Akihiko Takahashi, Masaaki Fujii

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.5867

zbMATH Keywords

perturbationasymptotic expansionparticle methodBSDEFBSDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items (5)

An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ Asymptotic Expansion Approach in Finance ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Perturbative expansion technique for non-linear FBSDEs with interacting particle method ⋮ Pricing and exercising American options: an asymptotic expansion approach

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