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Forward simulation of backward SDEs
Authors
Christian Bender
Robert Denk
Publication date
1 January 2005
Publisher
Doi
Cite
Abstract
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally, we demonstrate the strength of the new algorithm by solving some financial problems numerically
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Publications Server of the Weierstrass Institute for Applied Analysis and Stochastics
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Last time updated on 04/04/2020