英文标题：
《Monte-Carlo methods for the pricing of American options: a semilinear
BSDE point of view》
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作者：
Bruno Bouchard (CEREMADE), Ki Chau (CWI), Arij Manai (UM), Ahmed
Sid-Ali
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最新提交年份：
2018
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英文摘要：
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results.
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中文摘要：
我们将[5]中证明的看涨/看跌美式期权价格的粘性解特征推广到多维环境下的一般支付函数情况：价格满足半线性反应/扩散型方程。在此基础上，受[8]基于分支过程的算法的启发，我们提出了两种新的数值格式。我们的数值实验表明，用局部多项式近似关联反应/扩散偏微分方程的不连续驱动力是无效的，而简单的随机化程序可以提供很好的结果。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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