An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach

DOI10.1007/s10690-016-9220-zzbMath1418.91542OpenAlexW3124885144MaRDI QIDQ1627727

Akihiko Takahashi, Toshihiro Yamada

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-016-9220-z

zbMATH Keywords

asymptotic expansionMalliavin calculusstochastic volatility modelforward-backward stochastic differential equations (FBSDEs)local volatility modelCVA

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Related Items (3)

Asymptotic Expansion Approach in Finance ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing

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