A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs
From MaRDI portal
Publication:5119105
DOI10.1007/978-3-030-55347-0_17zbMath1461.91353arXiv1909.13560OpenAlexW3048177368MaRDI QIDQ5119105
No author found.
Publication date: 3 September 2020
Published in: Advances in High Performance Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.13560
stochastic differential equationsparallel algorithm using CUDA C programmingstable semi-discrete scheme
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Multistep schemes for solving backward stochastic differential equations on GPU ⋮ Numerical methods for backward stochastic differential equations: a survey
Cites Work
- Adapted solution of a backward stochastic differential equation
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- A multi-step scheme based on cubic spline for solving backward stochastic differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs
- Least-Squares Monte Carlo for Backward SDEs
- A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Backward Stochastic Differential Equations in Finance
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
