Oyono Ngou, Polynice; Hyndman, Cody - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-32
The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs) was originally formulated using Euler time discretizations and a uniform space grid. In this paper, we utilize a tree-like spatial discretization that approximates the BSDE on the...