A primal-dual algorithm for BSDEs (Q5283406)
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scientific article; zbMATH DE number 6751209
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| default for all languages | No label defined |
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| English | A primal-dual algorithm for BSDEs |
scientific article; zbMATH DE number 6751209 |
Statements
A PRIMAL–DUAL ALGORITHM FOR BSDES (English)
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21 July 2017
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BSDE
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numerical approximation
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Monte Carlo
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option pricing
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0.7920593619346619
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0.7825868129730225
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0.7679711580276489
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