Schwarz Method for Financial Engineering

Authors

  • Guangbao Guo Department of Statistics, Shandong University of Technology, Zibo 255000, China
  • Weidong Zhao School of Mathematics, Shandong University, Jinan, Shandong 250100, China

DOI:

https://doi.org/10.4208/jcm.2003-m2018-0115

Keywords:

2BSDE, Schwarz method, Domain decomposition, Viscosity solution, Stochastic volatility models.

Abstract

Schwarz method is put forward to solve second order backward stochastic differential equations (2BSDEs) in this work. We will analyze uniqueness, convergence, stability and optimality of the proposed method. Moreover, several simulation results are presented to demonstrate the effectiveness; several applications of the 2BSDEs are investigated. It is concluded from these results that the proposed the method is powerful to calculate the 2BSDEs listing from the financial engineering.

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Published

2021-07-05

Issue

Vol. 39 No. 4 (2021)

Section

Articles