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Contents

1. General introduction 6
1.1. Financial mathematics 6
1.2. Advantages and disadvantages of BSDEs 6
1.3. Structure of the thesis 7
2. The Black-Scholes model 9
3. Introduction to BSDEs 14
3.1. Definitions and theorems 14
3.2. Linear BSDEs 16
4. Numerical method for BSDEs 18
4.1. Discretization of forward SDE 18
4.2. Discretization of the BSDE 19
4.3. Binomial tree approximation 22
5. Numerical results and convergence analysis 26
5.1. Stochastic FitzHugh-Nagumo equation 26
5.2. European call option in Black-Scholes market 26
5.3. European call spread in a market with an bid-ask spread for interest rates 28
5.4. Binary option in Black-Scholes model 29
6. Reflected BSDEs 32
6.1. Theorems and examples 32
6.2. Numerical method for RBSDEs 33
7. Convergence analysis of RBSDE scheme 36
7.1. American put option in Black-Scholes market 36
7.2. American call option in a market with a bid-ask spread for interest rates 37
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8. FBSDEs with a R -valued forward SDE 39
8.1. Extension of the numerical method 39
9. Convergence analysis of the two-dimensional scheme 42
9.1. European spread option in a Black-Scholes market 42
10. Conclusions and further research 44
10.1. Conclusions 44
10.2. Further research 44
References 46
Appendix 47