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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
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Masters Theses
1
Year
2018
1
Creator
Min, Ming
1
Advisor
Sturm, Stephan
1
Contributor
Sturm, Stephan
1
Unit (Department)
Mathematical Sciences
1
Publisher
Worcester Polytechnic Institute
1
Resource type
Thesis
1
