Solving Backward Stochastic Differential Equations Using...

SIAM Journal on Financial Mathematics 2012 / 07 Vol. 3; Iss. 1

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

Crisan, D., Manolarakis, K.
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Volume:
3
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/090765766
Date:
July, 2012
File:
PDF, 551 KB
english, 2012
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