Finite Difference Methods for the BSDEs in Finance
AbstractThis paper gives a review of numerical methods for solving the BSDEs, especially, finite difference methods. For numerical methods of finite difference, we should divide them into three branches. Distributed method (or parallel method) should now become a hot topic. It is a key reason we present the review. We give a brief survey on the financial problems. The problems include solution and simulation methods for the BSDEs. We first describe the BSDEs, and then outline the main techniques and main results of the BSDEs. In addition, we compare with the errors between these methods and the Euler method on the BSDEs. View Full-Text
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Guo, G. Finite Difference Methods for the BSDEs in Finance. Int. J. Financial Stud. 2018, 6, 26.
Guo G. Finite Difference Methods for the BSDEs in Finance. International Journal of Financial Studies. 2018; 6(1):26.Chicago/Turabian Style
Guo, Guangbao. 2018. "Finite Difference Methods for the BSDEs in Finance." Int. J. Financial Stud. 6, no. 1: 26.
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