DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD

DOI10.1142/S0218348X22400692zbMath1486.91082OpenAlexW3201800323WikidataQ114072767 ScholiaQ114072767MaRDI QIDQ5070768

Alaa Omar Khadidos, Pengbo Wan, Qi Liu

Publication date: 14 April 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x22400692

zbMATH Keywords

option pricingnumerical simulationfinancial risk managementforward-backward stochastic differential equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Matlab
• BENCHOP

Cites Work

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• Multiplier method and exact solutions for a density dependent reaction-diffusion equation
• General closed-form basket option pricing bounds
• AN USER INTENTION MINING MODEL BASED ON FRACTAL TIME SERIES PATTERN
• Option pricing with orthogonal polynomial expansions

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