A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475)
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scientific article; zbMATH DE number 6444123
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs |
scientific article; zbMATH DE number 6444123 |
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A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (English)
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9 June 2015
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backward stochastic differential equations
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Fourier cosine expansion method
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European options
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market imperfections
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jump-diffusion process
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utility indifference pricing
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