An FBSDE approach to American option pricing with an interacting particle method (Q2013320)
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scientific article
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| English | An FBSDE approach to American option pricing with an interacting particle method |
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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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