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zbMath1195.91173MaRDI QIDQ3574221

Matt Davison, Y. Zhang, Mark Reesor, Zeng-Jing Chen

Publication date: 9 July 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Malliavin calculus partial differential equation backward stochastic differential equation contingent claim maximum expectation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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