Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

DOI10.1137/090765766zbMath1259.65005MaRDI QIDQ4902225

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

zbMATH Keywords

backward stochastic differential equations; nonlinear pricing; cubature methods; tree based branching algorithm

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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