A regression-based numerical scheme for backward stochastic differential equations (Q1695419)
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scientific article; zbMATH DE number 6835508
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A regression-based numerical scheme for backward stochastic differential equations |
scientific article; zbMATH DE number 6835508 |
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A regression-based numerical scheme for backward stochastic differential equations (English)
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7 February 2018
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characteristic functions
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least-squares regressions
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Monte Carlo methods
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European options
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