Analytical approximation for non-linear FBSDEs with perturbation scheme
Masaaki Fujii and Akihiko Takahashi
| Year of publication: |
2012
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|---|---|
| Authors: | Fujii, Masaaki ; Takahashi, Akihiko |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 5, p. 1-24
|
| Subject: | BSDE | FBSDE | four step scheme | asymptotic expansion | Malliavin derivative | non-linear PDE | CVA | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Nichtlineare Regression | Nonlinear regression |
| Extent: | graph. Darst. |
|---|---|
| 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/10009672609