Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

DOI10.1016/j.apnum.2015.12.003zbMath1386.91166OpenAlexW2256916148MaRDI QIDQ256112

M. J. Ruijter, Cornelis W. Oosterlee

Publication date: 9 March 2016

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/24378

zbMATH Keywords

characteristic functionbackward stochastic differential equationsCEV processCIR processEuropean and Bermudan optionsFourier cosine expansion methodlocal volatilityMilstein schemeorder 2.0 weak Taylor scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical methods for trigonometric approximation and interpolation (65T40)

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Uses Software

• Mathematica

Cites Work

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