Results on Numerics for FBSDE with Drivers of Quadratic Growth (Q3000882)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Results on Numerics for FBSDE with Drivers of Quadratic Growth |
scientific article |
Statements
Results on Numerics for FBSDE with Drivers of Quadratic Growth (English)
0 references
31 May 2011
0 references
forward-backward stochastic differential equations
0 references
quadratic growth drivers
0 references
convergence analyis for numerical methods
0 references
truncation of the driver
0 references
exponential Cole-Hopf transformation
0 references
pricing and hedging of derivatives on non-tradable underlyings
0 references
utility indifference approach
0 references
