Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko - Center for International Research on the Japanese … - 2012
In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic dierential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...