Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear reaction/diffusion type equation. Based on this, we propose two new numerical schemes inspired...

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Bibliographic Details
Main Authors: Bouchard Bruno, Wai Chau Ki, Manai Arij, Sid-Ali Ahmed
Format: Article
Language:English
Published: EDP Sciences 2019-01-01
Series:ESAIM: Proceedings and Surveys
Subjects:
american options
viscosity solution
semilinear black and scholes partial differential equation
branching method
bsde
Online Access:https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196512.pdf

Internet

https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196512.pdf

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