A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406)

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scientific article; zbMATH DE number 6751209
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A PRIMAL–DUAL ALGORITHM FOR BSDES
scientific article; zbMATH DE number 6751209

    Statements

    title
    A PRIMAL–DUAL ALGORITHM FOR BSDES (English)
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    author
    Christian Bender
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    Nikolaus Schweizer
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    Jia Zhuo
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    publication date
    21 July 2017
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    zbMATH Keywords
    BSDE
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    numerical approximation
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    Monte Carlo
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    option pricing
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    Identifiers

    DOI
    10.1111/mafi.12100
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    Mathematics Subject Classification ID
    91G60
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    65C05
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    60H10
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    91G20
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    zbMATH DE Number
    6751209
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    OpenAlex ID
    W2950427768
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