Backward Stochastic Differential Equations (BSDEs) constitute a class of stochastic processes where the solution is determined by a prescribed terminal condition rather than an initial one. These ...

This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic ...

A mathematical statistical model is needed to obtain an option prime and create a hedging strategy. With formulas derived from stochastic differential equations, the primes for US Dollar/Chilean Pesos ...

This is a preview. Log in through your library . Abstract A useful result when dealing with backward stochastic differential equations is the comparison theorem of Peng (1992). When the equations are ...