Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities
Year of publication: |
2010
|
---|---|
Authors: | Elie, Romuald ; Kharroubi, Idris |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | BSDE with jumps | variational inequalities | viscosity solutions | Monte Carlo simulations | Switching problems |
-
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs.
Fahim, Arash, (2011)
-
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
Fahim, Arash, (2011)
-
An Irregular Grid Approach for Pricing High Dimensional American Options
Schumacher, Johannes M., (2002)
- More ...
-
Exact replication under Delta constraints
Chassagneux, Jean-François, (2012)
-
When terminal facelift enforces delta constraints
Chassagneux, Jean-François, (2015)
-
When terminal facelift enforces Delta constraints
Jean-Fran\c{c}ois Chassagneux, (2013)
- More ...