Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903)
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scientific article; zbMATH DE number 7125797
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing |
scientific article; zbMATH DE number 7125797 |
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Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (English)
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4 November 2019
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computational finance
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forward-backward SDEs
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higher-order discretization method
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KLNV-scheme
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XVA
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