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Nonparametric estimation and simulation of backward stochastic differential equation

YANG Wei-qiang and YANG Li   

  1. School of Math. and System Sci., Shandong Univ., Jinan 250100, Shandong, China
  • Received:2006-03-15 Revised:2006-03-30 Online:2006-10-24 Published:2006-10-24
  • Contact: YANG Wei-qiang

Key words: option , bandwidth, kernel, nonparametric estimation, backward stochastic differential equation

CLC Number: 

  • O212.7
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