Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance |
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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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