An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
type: Item
instance of: scholarly article
title: An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
zbMATH Open document ID: 1418.91542
author: Akihiko Takahashi
author: Toshihiro Yamada
published in: Asia-Pacific Financial Markets
publication date: 2018-12-03T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34E05
zbMATH DE Number: 6987677
zbMATH Keywords: forward-backward stochastic differential equations (FBSDEs)
zbMATH Keywords: asymptotic expansion
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: CVA
zbMATH Keywords: local volatility model
zbMATH Keywords: stochastic volatility model
MaRDI profile type: Publication
full work available at URL: s10690-016-9220-z
OpenAlex ID: W3124885144
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DOI: 10.1007/S10690-016-9220-Z
description: scientific article; zbMATH DE number 6987677