WIAS Preprint No. 1026, (2005)
Forward simulation of backward SDEs
Authors
- Bender, Christian
- Denk, Robert
2010 Mathematics Subject Classification
- 65C05 65C30 91B28
Keywords
- BSDE, Numerics, Monte-Carlo simulation, Picard iteration, Finance
DOI
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.
Appeared in
- Stochastic Process. Appl., 117 (2007) pp. 1793--1812.
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