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Paper / 2024SMQ / 158986530840916
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
A. Agarwal / A. Zhou / E. Gobet / F. Noubiagain / J. G. Lopez-Salas / S. De Marco
mathematical finance / stochastic differential equationsResource overview

Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

Paper2024

by A. Agarwal, A. Zhou, E. Gobet, F. Noubiagain, J. G. Lopez-Salas, S. De Marco

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mathematical financestochastic differential equationsstochastic processes

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