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Least-Squares Monte Carlo for Backward SDEs (Q2917434)

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Language	Label	Description	Also known as
English	Least-Squares Monte Carlo for Backward SDEs	scientific article

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scholarly article

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Least-Squares Monte Carlo for Backward SDEs (English)

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zbMATH Open document ID

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10.1007/978-3-642-25746-9_8

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Christian Bender

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Jessica Steiner

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Springer Proceedings in Mathematics

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publication date

28 September 2012

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

backward SDE

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Monte Carlo

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numerical approximation

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option pricing

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-642-25746-9_8

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A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

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A forward scheme for backward SDEs

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OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH

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Importance Sampling for Backward SDEs

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A Posteriori Estimates for Backward SDEs

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Time discretization and Markovian iteration for coupled FBSDEs

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Discrete-time approximation for continuously and discretely reflected BSDEs

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Discrete-time approximation of decoupled Forward-Backward SDE with jumps

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Donsker-type theorem for BSDEs

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Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing

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A forward-backward stochastic algorithm for quasi-linear PDEs

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Numerical methods for forward-backward stochastic differential equations

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Backward Stochastic Differential Equations in Finance

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Number of paths versus number of basis functions in American option pricing

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Error expansion for the discretization of backward stochastic differential equations

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Solving BSDE with Adaptive Control Variate

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions

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Results on Numerics for FBSDE with Drivers of Quadratic Growth

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Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

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Valuing American Options by Simulation: A Simple Least-Squares Approach

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Numerical method for backward stochastic differential equations

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On Numerical Approximations of Forward-Backward Stochastic Differential Equations

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Representations and regularities for solutions to BSDEs with reflections

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Numerical Algorithms for Forward-Backward Stochastic Differential Equations

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Numerical simulation of BSDEs with drivers of quadratic growth

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A numerical scheme for BSDEs

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