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An FBSDE Approach to American Option Pricing with an Interacting Particle Method

An FBSDE Approach to American Option Pricing with an Interacting Particle Method
Paper文書・図像類
Fujii, Masaaki, Sato, Seisho, Takahashi, Akihiko日本経済国際共同センター2012-11Discussion paper series. CIRJE-FCIRJE-F-871
Other Libraries in Japan
  • Subject HeadingBSDE FBSDE asymptotic expansion perturba...

Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility

Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2012-02Discussion paper series. CIRJE-FCIRJE-F-840
Other Libraries in Japan
  • Subject HeadingFBSDE optimal portfolio incomplete ...

Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme

Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2011-06Discussion paper series. CIRJE-FCIRJE-F-802
Other Libraries in Japan
  • Subject HeadingBSDE FBSDE Four Step Scheme Asymptotic E...

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