Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860)
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scientific article; zbMATH DE number 7079329
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements |
scientific article; zbMATH DE number 7079329 |
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Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (English)
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11 July 2019
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nonlinear pricing
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CVaR initial margins
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anticipative BSDE
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weak non-linearity
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