Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing (2012)
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1137/090765766
Publication URI: http://dx.doi.org/10.1137/090765766
Type: Journal Article/Review
Parent Publication: SIAM Journal on Financial Mathematics
Issue: 1