Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing (2012)

First Author: Crisan D

Attributed to: Increasing the efficiency of numerical methods for estimating the state of a partially observed system. High order methods for solving parabolic PDEs funded by EPSRC

No abstract provided

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 1