Registered Data

[00591] Convergence rate of RBSDE by penalisation and its financial applications

  • Session Time & Room : 4C (Aug.24, 13:20-15:00) @E704
  • Type : Contributed Talk
  • Abstract : In this paper, we study the convergence of numerical solution of Reflected Backward Stochastic Equations (RBSDEs) by the penalisation approach and we apply this on the pricing problem of American option. Usually the obstacle-related problem is studied by Snell Envelope and penalisation is used on proving existence. Here we fill the gap between penalisation and numerical solution. As result, we proved successfully the convergence rate for both continuous and discrete penalised solution.
  • Classification : 60Hxx, 65Cxx, 60H35, 65C30, 60G40
  • Format : Talk at Waseda University
  • Author(s) :
    • Wanqing WANG (Ecole Polytechnique)
    • Emmanuel Gobet (Ecole Polytechnique)
    • Mingyu Xu (Fudan University)