Particle methods and the pricing of American options
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Thu, 30/05 13:00 |
Peng Hu |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
| The aim of this lecture is to give a general introduction to the interacting particle system and applications in finance, especially in the pricing of American options. We survey the main techniques and results on Snell envelope, and provide a general framework to analyse these numerical methods. New algorithms are introduced and analysed theoretically and numerically. | |||