Computation of Greeks for barrier and look-back options using Malliavin calculus.
Gobet, Emmanuel, Kohatsu-Higa, Arturo (2003)
Electronic Communications in Probability [electronic only]
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Displaying similar documents to “Probabilistic methods for semilinear partial differential equations. Applications to finance”
Computation of Greeks for barrier and look-back options using Malliavin calculus.
On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Halidias, Nikolaos, Kloeden, P.E. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Numerical schemes for multivalued backward stochastic differential systems
Lucian Maticiuc, Eduard Rotenstein (2012)
Open Mathematics
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We define approximation schemes for generalized backward stochastic differential systems, considered in the Markovian framework. More precisely, we propose a mixed approximation scheme for the following backward stochastic variational inequality: where ∂φ is the subdifferential operator of a convex lower semicontinuous function φ and (X t)t∈[0;T] is the unique solution of a forward stochastic differential equation. We use an Euler type scheme for the system of decoupled forward-backward...
Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
Antoine Lejay (2006)
ESAIM: Probability and Statistics
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We show in this article how the theory of “rough paths” allows us to construct solutions of differential equations (SDEs) driven by processes generated by divergence-form operators. For that, we use approximations of the trajectories of the stochastic process by piecewise smooth paths. A result of type Wong-Zakai follows immediately.
Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in Probability [electronic only]
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Reflected forward-backward SDEs and obstacle problems with boundary conditions.
Ma, Jin, Cvitanić, Jakša (2001)
Journal of Applied Mathematics and Stochastic Analysis
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A converse comparison theorem for BSDEs and related properties of -expectation.
Briand, Philippe, Coquet, François, Hu, Ying, Mémin, Jean, Peng, Shige (2000)
Electronic Communications in Probability [electronic only]
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Euler schemes and half-space approximation for the simulation of diffusion in a domain
Emmanuel Gobet (2001)
ESAIM: Probability and Statistics
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This paper is concerned with the problem of simulation of , the solution of a stochastic differential equation constrained by some boundary conditions in a smooth domain : namely, we consider the case where the boundary is killing, or where it is instantaneously reflecting in an oblique direction. Given discretization times equally spaced on the interval , we propose new discretization schemes: they are fully implementable and provide a weak error of order under some conditions....