A primal-dual algorithm for BSDES
Christian Bender and Nikolaus Schweizer, Jia Zhuo
| Year of publication: |
July 2017
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|---|---|
| Authors: | Bender, Christian ; Schweizer, Nikolaus ; Zhuo, Jia |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 3, p. 866-901
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| Subject: | BSDE | numerical approximation | Monte Carlo | option pricing | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12100 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011764983