Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111): Difference between revisions
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Revision as of 11:06, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical Approximations of BSDEs with Nonsmooth Driver |
scientific article |
Statements
Analytical Approximations of BSDEs with Nonsmooth Driver (English)
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21 October 2015
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backward stochastic differential equation
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asymptotic expansion
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analytical approximation
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small nonlinearity
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financial application
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interest rates pricing problem
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funding value adjustment
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numerical test
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