Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view (Q4967878)
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scientific article; zbMATH DE number 7079340
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| English | Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view |
scientific article; zbMATH DE number 7079340 |
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Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view (English)
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11 July 2019
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American options
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viscosity solution
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semilinear Black and Scholes partial differential equation
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branching method
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BSDE
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0.9336671
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0.9291674
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0.9192069
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0.9182983
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0.9178361
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0.9173441
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0.91638684
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0.91635776
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0.90738314
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