Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

DOI10.1137/090765766zbMath1259.65005OpenAlexW2040007132MaRDI QIDQ4902225

Dan Crisan, Konstantinos Manolarakis

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2d49aaa8d1f0265ed79d48004403bef4c23157e2

zbMATH Keywords

backward stochastic differential equationsnonlinear pricingcubature methodstree based branching algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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