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Int. J. Financial Stud. 2018, 6(1), 26;

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)
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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

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

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