A polynomial scheme of asymptotic expansion for backward SDEs and option pricing

DOI10.1080/14697688.2015.1036770zbMath1468.91166arXiv1405.0378OpenAlexW2789036689MaRDI QIDQ5001141

Masaaki Fujii

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.0378

zbMATH Keywords

asymptotic expansionstochastic controlrandom measureutility optimizationBSDEHestonSABR

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Asymptotic expansion for forward-backward SDEs with jumps ⋮ Numerical methods for backward stochastic differential equations: a survey

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