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Filtering by: Contributor Sturm, Stephan Unit (Department) Mathematical Sciences Keyword BSDE

Numerical Methods for European Option Pricing with BSDEs

Keyword:

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

Creator:

Min, Ming

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2018-04-24

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences