Finite Difference Methods for the BSDEs in Finance

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...

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Main Author:	Guangbao Guo
Format:	Article
Language:	English
Published:	MDPI AG 2018-03-01
Series:	International Journal of Financial Studies
Subjects:	finite difference distributed option pricing BSDEs FBSDEs parallel computing finance
Online Access:	http://www.mdpi.com/2227-7072/6/1/26

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spelling	doaj-9a77632cbd234715ae5d757c00c875c12020-11-24T21:30:04ZengMDPI AGInternational Journal of Financial Studies2227-70722018-03-01612610.3390/ijfs6010026ijfs6010026Finite Difference Methods for the BSDEs in FinanceGuangbao Guo0Department of Statistics, Shandong University of Technology, Zibo 255000, ChinaThis 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.http://www.mdpi.com/2227-7072/6/1/26finite differencedistributed option pricingBSDEsFBSDEsparallel computingfinance
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Guangbao Guo
spellingShingle	Guangbao Guo Finite Difference Methods for the BSDEs in Finance International Journal of Financial Studies finite difference distributed option pricing BSDEs FBSDEs parallel computing finance
author_facet	Guangbao Guo
author_sort	Guangbao Guo
title	Finite Difference Methods for the BSDEs in Finance
title_short	Finite Difference Methods for the BSDEs in Finance
title_full	Finite Difference Methods for the BSDEs in Finance
title_fullStr	Finite Difference Methods for the BSDEs in Finance
title_full_unstemmed	Finite Difference Methods for the BSDEs in Finance
title_sort	finite difference methods for the bsdes in finance
publisher	MDPI AG
series	International Journal of Financial Studies
issn	2227-7072
publishDate	2018-03-01
description	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.
topic	finite difference distributed option pricing BSDEs FBSDEs parallel computing finance
url	http://www.mdpi.com/2227-7072/6/1/26
work_keys_str_mv	AT guangbaoguo finitedifferencemethodsforthebsdesinfinance
_version_	1725964107967889408

Finite Difference Methods for the BSDEs in Finance

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