Next Article in Journal
Gas Storage Valuation and Hedging: A Quantification of Model Risk
Next Article in Special Issue
Asymptotic Expansion of Risk-Neutral Pricing Density
Previous Article in Journal
The Inconsistent Effects of Plain English Disclosures on Nonprofessional Investors’ Risk Judgments
Previous Article in Special Issue
Numerical Simulation of the Heston Model under Stochastic Correlation
Article Menu

Export Article

Open AccessArticle
Int. J. Financial Stud. 2018, 6(1), 26; https://doi.org/10.3390/ijfs6010026

Finite Difference Methods for the BSDEs in Finance

Department of Statistics, Shandong University of Technology, Zibo 255000, China
Received: 2 May 2017 / Revised: 17 December 2017 / Accepted: 4 January 2018 / Published: 5 March 2018
(This article belongs to the Special Issue Recent Developments in Numerical Methods for Option Pricing)
Full-Text   |   PDF [278 KB, uploaded 14 March 2018]   |  

Abstract

This 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
Keywords: finite difference; distributed option pricing; BSDEs; FBSDEs; parallel computing; finance finite difference; distributed option pricing; BSDEs; FBSDEs; parallel computing; finance
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Guo, G. Finite Difference Methods for the BSDEs in Finance. Int. J. Financial Stud. 2018, 6, 26.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top