An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Akihiko Takahashi, Toshihiro Yamada
| Year of publication: |
December 2016
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|---|---|
| Authors: | Takahashi, Akihiko ; Yamada, Toshihiro |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 23.2016, 4, p. 337-373
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| Subject: | Forward-backward stochastic differential equations (FBSDEs) | Asymptotic expansion | Malliavin calculus | CVA | Local volatility model | Stochastic volatility model | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Finanzmathematik | Mathematical finance | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-016-9220-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011619975