Forward Simulation of Financial Problems via BSDEs
| Type of Publication: | Preprint |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-22277 |
| Author: | Bender, Christian; Denk, Robert |
| Year of publication: | 2005 |
| Series: | Konstanzer Schriften in Mathematik und Informatik ; 207 |
| Summary: |
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algorithm by solving some financial problems numerically.
|
| Subject (DDC): | 004 Computer Science |
| Link to License: | In Copyright |
| Bibliography of Konstanz: | Yes |
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BENDER, Christian, Robert DENK, 2005. Forward Simulation of Financial Problems via BSDEs
@unpublished{Bender2005Forwa-739, title={Forward Simulation of Financial Problems via BSDEs}, year={2005}, author={Bender, Christian and Denk, Robert} }
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