"Efficient numerical Fourier methods for coupled forward-backward SDEs."

T. P. Huijskens, Maria J. Ruijter, Cornelis W. Oosterlee (2016)

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DOI: 10.1016/J.CAM.2015.10.019

access: open

type: Journal Article

metadata version: 2021-02-16

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T. P. Huijskens, Maria J. Ruijter, Cornelis W. Oosterlee:
Efficient numerical Fourier methods for coupled forward-backward SDEs. J. Comput. Appl. Math. 296: 593-612 (2016)

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