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Published / Preprint: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing. (arXiv:1405.0378v1 [q-fin.CP]) Posted: 04 May 2014 05:38 PM PDT A new asymptotic expansion scheme for backward SDEs (BSDEs) is proposed.The perturbation parameter is introduced just to scale the forward stochastic variables within a BSDE. In contrast to the standard small-diffusion asymptotic expansion method, the dynamics of variables given by the forward SDEs is treated exactly. Although it requires a special form of the quadratic covariation terms, it... Visit MoneyScience for the Complete Article.

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