Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing
type: Item
instance of: scholarly article
title: Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing
zbMATH Open document ID: 1266.65006
DOI: 10.1142/9789814313179_0050
published in: Progress in Analysis and Its Applications
publication date: 2013-05-14T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 6162933
zbMATH Keywords: nonlinear pricing
zbMATH Keywords: error propagation
zbMATH Keywords: algorithm
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: numerical example
author: Dan Crisan
author: Konstantinos Manolarakis
MaRDI profile type: Publication
full work available at URL: 9789814313179 0050
OpenAlex ID: W4252168909
description: scientific article; zbMATH DE number 6162933