An asymptotic expansion of forward-backward SDEs with a perturbed driver
Akihiko Takahashi, Toshihiro Yamada
| Year of publication: |
2015
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|---|---|
| Authors: | Takahashi, Akihiko ; Yamada, Toshihiro |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 2, p. 1-29
|
| Subject: | Forward-backward SDEs | asymptotic expansion | nonlinear pricing | Malliavin calculus | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011333428