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A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps
NatWest Markets, Stamford, CT, USA
- 1 NatWest Markets, Stamford, CT, USA
Journal of Mathematical Finance·Volume 10 (2019)·Pages 1–9·Published 12 December 2019·DOI10.4236/jmf.2020.101001
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Abstract
In this paper, we introduce a clustering method to approximate the solution to a general Backward Stochastic Differential Equation with Jumps (BSDEJ). We show the convergence of the sequence of approximate solutions to the true one. The method is implemented for an application in finance. Numerical results show that the method is efficient.
KeywordsBackward Stochastic Differential Equation with JumpsJump DiffusionClus-teringWeak Convergence
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