Nature

Backward Stochastic Differential Equations and Applications

Backward Stochastic Differential Equations (BSDEs) constitute a powerful framework where the solution is determined by a terminal condition and then propagated backwards in time. This innovative ...
Risk

Pricing barrier options with deep backward stochastic differential equation methods

This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...
JSTOR Daily

Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations

A mathematical statistical model is needed to obtain an option prime and create a hedging strategy. With formulas derived from stochastic differential equations, the primes for US Dollar/Chilean Pesos ...
Risk

Volume 25, Number 4 (March 2022)

I am pleased to introduce the March 2022 issue of The Journal of Computational Finance. This issue’s first paper, “Pricing barrier options with deep backward stochastic differential equation methods”, ...
JSTOR Daily

Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset

This is a preview. Log in through your library . Abstract This paper analyzes a noncooperative and symmetric dynamic game where players have free access to a productive asset whose evolution is a ...