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dc.contributor.authorBouchard, Bruno*
dc.contributor.authorChau, Ki*
dc.contributor.authorManai, Arij*
dc.contributor.authorSid-Ali, Ahmed*
dc.date.accessioned2018-03-09T13:12:37Z
dc.date.available2018-03-09T13:12:37Z
dc.date.issued2019
dc.identifier.issn2267-3059
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17529
dc.language.isoenen
dc.subjectBranching method
dc.subjectSemilinear Black and Sc- holes partial differential equation
dc.subjectAmerican options
dc.subjectViscosity solution
dc.subjectBSDE
dc.subject.ddc519en
dc.titleMonte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results.
dc.relation.isversionofjnlnameESAIM: Proceedings and Surveys
dc.relation.isversionofjnlvol65
dc.relation.isversionofjnldate2019
dc.relation.isversionofjnlpages294-308
dc.relation.isversionofdoi10.1051/proc/201965294
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01666399
dc.relation.isversionofjnlpublisherEDP Sciences
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
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dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2019-07-16T12:39:38Z
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