ListarGI-M2NICA - Congresos, conferencias, etc. por tema "Non-linear pricing"
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Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
(EDP Science, 2019-04-02)[Abstract]: We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results ...