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math.PR2019
Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids
Anis Matoussi, Arij Manai, Rym Salhi
In this paper, we prove the existence and uniqueness of the solution of a coupled Mean-Field Forward-Backward SDE system with Jumps. Then, we give an application in the field of st…
math.PR2017
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
Bruno Bouchard, Ki Chau, Arij Manai +1
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 pri…