A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141)
From MaRDI portal
scientific article; zbMATH DE number 7372409
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A polynomial scheme of asymptotic expansion for backward SDEs and option pricing |
scientific article; zbMATH DE number 7372409 |
Statements
A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (English)
0 references
16 July 2021
0 references
stochastic control
0 references
asymptotic expansion
0 references
BSDE
0 references
random measure
0 references
Heston
0 references
SABR
0 references
utility optimization
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
