Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing (Q4919467)
From MaRDI portal
scientific article; zbMATH DE number 6162933
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing |
scientific article; zbMATH DE number 6162933 |
Statements
Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing (English)
0 references
14 May 2013
0 references
nonlinear pricing
0 references
error propagation
0 references
algorithm
0 references
backward stochastic differential equations
0 references
numerical example
0 references
