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National University of Singapore

THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES

dc:creator XIA HAOYANG
dc:date.issued2015

Abstract

dc:description.abstract

We study the application of stochastic mesh method in BSDEs. We start with the review of stochastic mesh method in American option pricing. Then we introduce BSDEs briefly, and by deducing the drivers and recursion in BSDEs, finally we apply stochastic mesh method to BSDEs. Numerical results are presented, of stochastic mesh method in both American option pricing and BSDEs.

Author and committee

dc:creator, dc:contributor.*
Author dc:creator
  • XIA HAOYANG

Subjects

dc:subject × 1

Chain of custody

source
Harvested from
National University of Singapore
Base URL
scholarbank.nus.edu.sg/oai/request
Last updated
2026-07-24
Source record
OAI-PMH GetRecord
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citation

XIA HAOYANG. THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES. 2015.

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