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A PRIMAL-DUAL ALGORITHM FOR BSDES

Bender, C; Schweizer, N; Zhuo, J

Bender, C (reprint author), Saarland Univ, Dept Math, Postfach 151150, D-66041 Saarbrucken, Germany.

MATHEMATICAL FINANCE, 2017; 27 (3): 866

Abstract

We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation assoc......

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