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Numerical Methods for European Option Pricing with BSDEs

Mot-clé:

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

Créateur:

Min, Ming

Advisor:

Sturm, Stephan

Éditeur:

Worcester Polytechnic Institute

date créée:

2018-04-24

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences