Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112)
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scientific article; zbMATH DE number 6552775
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| English | Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance |
scientific article; zbMATH DE number 6552775 |
Statements
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (English)
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9 March 2016
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Fourier cosine expansion method
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European and Bermudan options
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CEV process
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CIR process
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local volatility
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characteristic function
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backward stochastic differential equations
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Milstein scheme
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order 2.0 weak Taylor scheme
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0.9020918011665344
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0.8639560341835022
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0.8550751209259033
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0.8442283272743225
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0.8335422277450562
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