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تسجيل مستخدم جديدPricing financial derivatives by a minimizing method
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Eduard Rotenstein
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We shall study backward stochastic differential equations and we will present a new approach for the existence of the solution. This type of equation appears very often in the valuation of financial derivatives in complete markets. Therefore, the identification of the solution as the unique element in a certain Banach space where a suitably chosen functional attains its minimum becomes interesting for numerical computations.
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Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural network pa
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