375 citations · 608 across the 47 of their papers we have counts for
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math.NA2016★ 12 cited
On the wavelets-based SWIFT method for backward stochastic differential equations
Ki Wai Chau, Cornelis W. Oosterlee
We propose a numerical algorithm for backward stochastic differential equations based on time discretization and trigonometric wavelets. This method combines the effectiveness of F…
q-fin.PR2016★ 1 cited
Pricing Bermudan options under local Lévy models with default
Anastasia Borovykh, Cornelis W. Oosterlee, Andrea Pascucci
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale. This class of models allows for a local volatility, local…