An FBSDE approach to American option pricing with an interacting particle method

DOI10.1007/s10690-014-9195-6zbMath1368.91181arXiv1211.5867OpenAlexW3125080487MaRDI QIDQ2013320

Seisho Sato, Akihiko Takahashi, Masaaki Fujii

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.5867

zbMATH Keywords

perturbationasymptotic expansionparticle methodBSDEFBSDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

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