Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

Published 2016 View Full Article

Authors

Keywords

Fourier cosine expansion method, European and Bermudan options, CEV process, CIR process, Local volatility, Characteristic function, Backward stochastic differential equations, Milstein scheme, Order 2.0 weak Taylor scheme

Journal

APPLIED NUMERICAL MATHEMATICS

Volume 103, Issue -, Pages 1-26

Publisher

Elsevier BV

Online

2016-01-16

DOI

10.1016/j.apnum.2015.12.003

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