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The application of stochastic mesh method in BSDEs
by Haoyang, Xia, M.S., National University of Singapore (Singapore), 2015, 42; 10006105
Abstract (Summary)
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 brie y, 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.
| Advisor: | |
| Commitee: | |
| School: | National University of Singapore (Singapore) |
| Department: | Mathematics |
| School Location: | Republic of Singapore |
| Source: | MAI 55/03M(E), Masters Abstracts International |
| Source Type: | DISSERTATION |
| Subjects: | Mathematics |
| Keywords: | |
| Publication Number: | 10006105 |
| ISBN: | 9781339439679 |
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