On the Robustness of the Snell envelope
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- Vlad Bally & Gilles Pagès & Jacques Printems, 2005. "A Quantization Tree Method For Pricing And Hedging Multidimensional American Options," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 119-168, January.
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- Bouchard, Bruno & Touzi, Nizar, 2004. "Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 175-206, June.
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More about this item
Keywords
Snell envelope; optimal stopping; American option pricing; genealogical trees; interacting particle model;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2011-02-12 (Computational Economics)
- NEP-ORE-2011-02-12 (Operations Research)
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