Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
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backward stochastic differential equationscubature methodsnonlinear pricingtree based branching algorithm
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)
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