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Filtragem por: Advisor Sturm, Stephan O Criador Min, Ming

Numerical Methods for European Option Pricing with BSDEs

Palavra-chave:

FT scheme, XVA, Linear Regression Monte Carlo method, and BSDE

O Criador:

Min, Ming

Advisor:

Sturm, Stephan

Editor:

Worcester Polytechnic Institute

Data Criada:

2018-04-24

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences