Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing (Q4902225)
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scientific article; zbMATH DE number 6130654
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| English | Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing |
scientific article; zbMATH DE number 6130654 |
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Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing (English)
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25 January 2013
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backward stochastic differential equations
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cubature methods
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tree based branching algorithm
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nonlinear pricing
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1.0000002
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0.8975554
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0.88595235
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0.88458335
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0.8824005
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0.88224745
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