A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
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Publication:5254475
DOI10.1137/130913183zbMath1314.65011OpenAlexW2083017901MaRDI QIDQ5254475
M. J. Ruijter, Cornelis W. Oosterlee
Publication date: 9 June 2015
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/130913183
backward stochastic differential equationsmarket imperfectionsEuropean optionsFourier cosine expansion methodutility indifference pricingjump-diffusion process
Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for trigonometric approximation and interpolation (65T40)
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Uses Software
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