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
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)
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