An FBSDE approach to American option pricing with an interacting particle method (Q2013320)
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scientific article; zbMATH DE number 6761451
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| English | An FBSDE approach to American option pricing with an interacting particle method |
scientific article; zbMATH DE number 6761451 |
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An FBSDE approach to American option pricing with an interacting particle method (English)
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17 August 2017
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BSDE
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FBSDE
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asymptotic expansion
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perturbation
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particle method
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0.7860381603240967
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0.7682868242263794
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0.7650941610336304
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0.7513545155525208
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0.7403435707092285
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