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https://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 | Citation: | 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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