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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Subjects: | |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196512.pdf |