"Solving Backward Stochastic Differential Equations Using the Cubature ..."

D. Crisan, K. Manolarakis (2012)

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DOI: 10.1137/090765766

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type: Journal Article

metadata version: 2022-02-08

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D. Crisan, K. Manolarakis:
Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing. SIAM J. Financial Math. 3(1): 534-571 (2012)

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