A regression-based numerical scheme for backward stochastic differential equations

DOI10.1007/s00180-017-0763-xzbMath1417.65021OpenAlexW2756201161MaRDI QIDQ1695419

Yiqi Liu, Xiaofei Li, Deng Ding

Publication date: 7 February 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-017-0763-x

zbMATH Keywords

Monte Carlo methodscharacteristic functionsEuropean optionsleast-squares regressions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Stochastic grid bundling method for backward stochastic differential equations, A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations

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