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Showing 1 to 1 of 1 for “"STOCHASTIC MESH METHOD, BSDE, OPTION PRICING"”.

  1. THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES

    XIA HAOYANG2015

    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 …

    nus Repository record