THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES

Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/121739

DC Field	Value
dc.title	THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES
dc.contributor.author	XIA HAOYANG
dc.date.accessioned	2015-11-30T18:00:58Z
dc.date.available	2015-11-30T18:00:58Z
dc.date.issued	2015-08-03
dc.identifier.citation	XIA HAOYANG (2015-08-03). THE APPLICATION OF STOCHASTIC MESH METHOD IN BSDES. ScholarBank@NUS Repository.
dc.identifier.uri	http://scholarbank.nus.edu.sg/handle/10635/121739
dc.description.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.
dc.language.iso	en
dc.subject	STOCHASTIC MESH METHOD, BSDE, OPTION PRICING
dc.type	Thesis
dc.contributor.department	MATHEMATICS
dc.contributor.supervisor	ZHOU CHAO
dc.description.degree	Master's
dc.description.degreeconferred	MASTER OF SCIENCE
dc.identifier.isiut	NOT_IN_WOS
Appears in Collections:	Master's Theses (Open)

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