A Fourier transform method for solving backward stochastic differential equations

DOI10.1007/s11009-021-09860-yzbMath1487.65008OpenAlexW3152504017WikidataQ115381836 ScholiaQ115381836MaRDI QIDQ2671235

Gongqiu Zhang, Yingming Ge, Lingfei Li

Publication date: 3 June 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09860-y

zbMATH Keywords

Fourier transformbackward stochastic differential equationsfinance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Numerical methods for backward stochastic differential equations: a survey

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