Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195692 
Authors: 
Year of Publication: 
2018
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 6 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-15
Publisher: 
MDPI, Basel
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.
Subjects: 
finite difference
distributed option pricing
BSDEs
FBSDEs
parallel computing
finance
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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