Abstract
AbstractThe purpose of this paper is to investigate the numerical solutions to two-dimensional forward backward stochastic differential equations(FBSDEs). Based on the Fourier cos-cos transform, the approximations of conditional expectations and their errors are studied with conditional characteristic functions. A new numerical scheme is proposed by using the least-squares regression-based Monte Carlo method to solve the initial value of FBSDEs. Finally, a numerical experiment in European option pricing is implemented to test the efficiency and stability of this scheme.
Funder
Innovative Research Group Project of the National Natural Science Foundation of China
Humanities and social sciences fund of the Ministry of Education
Hubei Key Laboratory of Applied Mathematics
Hunan Provincial Science and Technology Project Foundation
Development Funding from Yangtze University College of Technology and Engineerin
Scientific Research Fund of Hunan Provincial Education Department
Hubei Provincial Department of Education
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Algebra and Number Theory,Analysis
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