Finite Difference Methods for the BSDEs in Finance

Guangbao Guo
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Guangbao Guo: Department of Statistics, Shandong University of Technology, Zibo 255000, China

IJFS, 2018, vol. 6, issue 1, 1-15

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.

Keywords: finite difference; distributed option pricing; BSDEs; FBSDEs; parallel computing; finance (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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