Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

@inproceedings{Ruijter2016NumericalFM,
  title={Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance},
  author={Marjon J. Ruijter and Cornelis W. Oosterlee},
  year={2016}
}
Article history: Received 9 January 2015 Received in revised form 31 August 2015 Accepted 7 December 2015 Available online 15 January 2016 

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