Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing (Q4919467): Difference between revisions
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Latest revision as of 00:07, 20 March 2024
scientific article; zbMATH DE number 6162933
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing |
scientific article; zbMATH DE number 6162933 |
Statements
Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing (English)
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14 May 2013
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nonlinear pricing
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error propagation
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algorithm
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backward stochastic differential equations
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numerical example
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