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- W3124885144 abstract "This paper proposes a new analytical approximation scheme for the representation of the forward–backward stochastic differential equations (FBSDEs) of Ma and Zhang (Ann Appl Probab, 2002). In particular, we obtain an error estimate for the scheme applying Malliavin calculus method for the forward SDEs combined with the Picard iteration scheme for the BSDEs. We also show numerical examples for pricing option with counterparty risk under local and stochastic volatility models, where the credit value adjustment is taken into account." @default.
- W3124885144 created "2021-02-01" @default.
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- W3124885144 date "2016-09-22" @default.
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- W3124885144 title "An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach" @default.
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- W3124885144 doi "https://doi.org/10.1007/s10690-016-9220-z" @default.
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