Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
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)
0 references
21 October 2015
0 references
backward stochastic differential equation
0 references
asymptotic expansion
0 references
analytical approximation
0 references
small nonlinearity
0 references
financial application
0 references
interest rates pricing problem
0 references
funding value adjustment
0 references
numerical test
0 references