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Finite Difference Methods for the BSDEs in Finance

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  • Guangbao Guo

    (Department of Statistics, Shandong University of Technology, Zibo 255000, China)

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.

Suggested Citation

  • Guangbao Guo, 2018. "Finite Difference Methods for the BSDEs in Finance," IJFS, MDPI, vol. 6(1), pages 1-15, March.
    • Handle: RePEc:gam:jijfss:v:6:y:2018:i:1:p:26-:d:134745
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    References listed on IDEAS

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