Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
نویسنده
چکیده
In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers based on binomial tree framework. We introduce numerical algorithms by penalization method and reflected method respectively. In the end simulation results are also presented.
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ورودعنوان ژورنال:
- J. Computational Applied Mathematics
دوره 236 شماره
صفحات -
تاریخ انتشار 2011