Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
Syoiti Ninomiya & Yuji Shinozaki
| Year of publication: |
2019
|
|---|---|
| Authors: | Ninomiya, Syoiti ; Shinozaki, Yuji |
| Subject: | Computational finance | forward-backward SDEs | higher-order discretization method | KLNV-scheme | XVA |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2019.1637268 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210291