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

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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