scientific article; zbMATH DE number 7828115
Unnamed Author, Kistosil Fahim, Endah R. M. Putri
Publication date: 8 April 2024
Full work available at URL: http://e-ndst.kiev.ua/v24n2/3(92).pdf
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multi-asset optionpartial differential equations (PDEs)Feynman-Kac theorembackward stochastic differential equations (BSDEs)Black-Scholes differential equations
Vector-valued set functions, measures and integrals (28B05) General properties and structure of complex Lie groups (22E10) PDEs with randomness, stochastic partial differential equations (35R60) Nonlinear modes (70K75) Mathematical modeling or simulation for problems pertaining to systems and control theory (93-10)
Cites Work
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- Continuous-time stochastic control and optimization with financial applications
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Radial basis function partition of unity methods for pricing vanilla basket options
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Backward stochastic differential equations with Markov chains and associated PDEs
- A multi-step scheme based on cubic spline for solving backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance
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