Analytical Approximations of BSDEs with Nonsmooth Driver

Analytical Approximations of BSDEs with Nonsmooth Driver

Gobet, Emmanuel, Pagliarani, Stefano
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Volume:
6
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/14100021X
Date:
January, 2015
File:
PDF, 432 KB
english, 2015
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