Efficient numerical Fourier methods for coupled forward–backward SDEs

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Title
Efficient numerical Fourier methods for coupled forward–backward SDEs
Authors
Keywords
Fourier-cosine expansion method, Characteristic function, Coupled forward–backward stochastic differential equations, Richardson extrapolation, Second-order convergence, Cross-hedging
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 296, Issue -, Pages 593-612
Publisher
Elsevier BV
Online
2015-10-31
DOI
10.1016/j.cam.2015.10.019

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