Artikel

Finite difference methods for the BSDEs in finance

This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference methods. For numerical methods of finite difference, we should divide them into three branches. Distributed method (or parallel method) should now become a hot topic. It is a key reason we present the review. We give a brief survey on the financial problems. The problems include solution and simulation methods for the BSDEs. We first describe the BSDEs, and then outline the main techniques and main results of the BSDEs. In addition, we compare with the errors between these methods and the Euler method on the BSDEs.

Language
Englisch

Bibliographic citation
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-15 ; Basel: MDPI

Classification
Wirtschaft
Subject
finite difference
distributed option pricing
BSDEs
FBSDEs
parallel computing
finance

Event
Geistige Schöpfung
(who)
Guo, Guangbao
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2018

DOI
doi:10.3390/ijfs6010026
Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Guo, Guangbao
  • MDPI

Time of origin

  • 2018

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