A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps
Open Access
- 1 January 2020
- journal article
- research article
- Published by Scientific Research Publishing, Inc. in Journal of Mathematical Finance
- Vol. 10 (01), 1-9
- https://doi.org/10.4236/jmf.2020.101001
Abstract
In this paper, we introduce a clustering method to approximate the solution to a general Backward Stochastic Differential Equation with Jumps (BSDEJ). We show the convergence of the sequence of approximate solutions to the true one. The method is implemented for an application in finance. Numerical results show that the method is efficient.Keywords
This publication has 1 reference indexed in Scilit:
- An FBSDE Approach to American Option Pricing with an Interacting Particle MethodAsia-Pacific Financial Markets, 2014