Open AccessA Fourier-Cosine Method for an Efficient Computation of Solutions to BSDEs
Author(s) -
Marjon Ruijter,
Cornelis W. Oosterlee
Publication year - 2013
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2233823
Subject(s) - computation , fourier transform , mathematics , sine and cosine transforms , trigonometric functions , computer science , mathematical analysis , algorithm , fourier analysis , short time fourier transform , geometry
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