A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141)
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scientific article; zbMATH DE number 7372409
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A polynomial scheme of asymptotic expansion for backward SDEs and option pricing |
scientific article; zbMATH DE number 7372409 |
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A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (English)
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16 July 2021
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stochastic control
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asymptotic expansion
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BSDE
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random measure
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Heston
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SABR
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utility optimization
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