Pricing financial derivatives by a minimizing method

zbMath1224.65013arXiv0811.4613MaRDI QIDQ5392216

Eduard Rotenstein

Publication date: 8 April 2011

Full work available at URL: https://arxiv.org/abs/0811.4613

zbMATH Keywords

optimizationbackward stochastic differential equationsconvex analysiscomplete marketsnumerical computationsfinancial derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Random integral equations (45R05)

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