Publication:3574221
From MaRDI portal
zbMath1195.91173MaRDI QIDQ3574221
Matt Davison, Y. Zhang, Mark Reesor, Zeng-Jing Chen
Publication date: 9 July 2010
Malliavin calculus; partial differential equation; backward stochastic differential equation; contingent claim; maximum expectation
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
65C30: Numerical solutions to stochastic differential and integral equations
