Valuing American options by simulation: a BSDEs approach (Q2228772)
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scientific article; zbMATH DE number 7313628
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| English | Valuing American options by simulation: a BSDEs approach |
scientific article; zbMATH DE number 7313628 |
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Valuing American options by simulation: a BSDEs approach (English)
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19 February 2021
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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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0.9479835
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0.9252564
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0.9191609
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0.91007227
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0.90738314
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0.9055859
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0.90237075
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