Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860)
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scientific article; zbMATH DE number 7079329
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| English | Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements |
scientific article; zbMATH DE number 7079329 |
Statements
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (English)
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11 July 2019
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nonlinear pricing
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CVaR initial margins
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anticipative BSDE
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weak non-linearity
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0.7542857527732849
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0.7455720901489258
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0.7162595391273499
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0.7138212323188782
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