On backward stochastic differential equations approach to valuation of American options (Q3100574)
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scientific article
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| English | On backward stochastic differential equations approach to valuation of American options |
scientific article |
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On Backward Stochastic Differential Equations Approach to Valuation of American Options (English)
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24 November 2011
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backward stochastic differential equation
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obstacle problem
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American option
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0.8294822573661804
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0.8217877745628357
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0.807674765586853
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0.8070532083511353
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