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"A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs."

Marjon J. Ruijter, Cornelis W. Oosterlee (2015)

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DOI: 10.1137/130913183

access: closed

type: Journal Article

metadata version: 2020-07-30

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  - journals/siamsc/RuijterO15
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  - https://dblp.org/rec/journals/siamsc/RuijterO15
Marjon J. Ruijter, Cornelis W. Oosterlee:
A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs. SIAM J. Sci. Comput. 37(2) (2015)

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