Results on numerics for FBSDE with drivers of quadratic growth (Q3000882)
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scientific article
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| English | Results on numerics for FBSDE with drivers of quadratic growth |
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Results on Numerics for FBSDE with Drivers of Quadratic Growth (English)
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31 May 2011
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forward-backward stochastic differential equations
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quadratic growth drivers
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convergence analyis for numerical methods
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truncation of the driver
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exponential Cole-Hopf transformation
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pricing and hedging of derivatives on non-tradable underlyings
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utility indifference approach
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0.8495827913284302
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0.8379787802696228
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0.8124293684959412
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0.8108776211738586
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0.8012818098068237
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