Valuing American options by simulation: a BSDEs approach (Q2228772)

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Valuing American options by simulation: a BSDEs approach
scientific article

    Statements

    title
    Valuing American options by simulation: a BSDEs approach (English)
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    author
    Tomasz Klimsiak
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    Andrzej Rozkosz
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    Bartosz Ziemkiewicz
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    publication date
    19 February 2021
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    zbMATH Keywords
    American option
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    backward stochastic differential equation
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    obstacle problem
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    numerical approximation
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    Identifiers

    zbMATH DE Number
    7313628
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    OpenAlex ID
    W2200863298
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    Wikidata QID
    Q108524134
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