Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
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Publication:4902225
DOI10.1137/090765766zbMATH Open1259.65005OpenAlexW2040007132MaRDI QIDQ4902225FDOQ4902225
Authors: Dan Crisan, Konstantinos Manolarakis 
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/2d49aaa8d1f0265ed79d48004403bef4c23157e2
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backward stochastic differential equationsnonlinear pricingcubature methodstree based branching algorithm
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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