Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/121739
Title: THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES
Authors: XIA HAOYANG
Keywords: STOCHASTIC MESH METHOD, BSDE, OPTION PRICING
Issue Date: 3-Aug-2015
Source: XIA HAOYANG (2015-08-03). THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES. ScholarBank@NUS Repository.
Abstract: We study the application of stochastic mesh method in BSDEs. We start with the review of stochastic mesh method in American option pricing. Then we introduce BSDEs briefly, and by deducing the drivers and recursion in BSDEs, finally we apply stochastic mesh method to BSDEs. Numerical results are presented, of stochastic mesh method in both American option pricing and BSDEs.
URI: http://scholarbank.nus.edu.sg/handle/10635/121739
Appears in Collections:Master's Theses (Open)

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