This paper proposes a new closed-form approximation scheme for the forward-backward stochastic differential equations (FBSDEs). In particular, we obtain an error estimate for the scheme applying an asymptotic expansion in Malliavin calculus for the forward SDEs combined with the Picard iteration scheme for the BSDEs. We also show a numerical example for pricing options with counterparty risk under Heston model, where the credit value adjustment (CVA) is taken into account.
内容記述
Revised in November 2012 and December 2012 and January 2013.
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-865
発行年
2012-10
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
An Asymptotic Expansion for Forward-Backward SDEs : A Malliavin Calculus Approach
