Dissertation/Thesis Abstract

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.

Indexing (document details)
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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