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ArticleRepresentations and regularities for solutions to BSDEs with reflections

Jin Ma2005

OA

Articlebronze2005

Representations and regularities for solutions to BSDEs with reflections

Jin Ma · Jianfeng Zhang

58 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Fuzzy Systems and Optimization

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 2007Forward-Backward Stochastic Differential Equations and their Applications 1997Pricing American-style securities using simulation 1999Applications of Malliavin calculus to Monte Carlo methods in finance 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

Cited by

2008Discrete-time approximation for continuously and discretely reflected BSDEs 2012BSDEs with monotone generator and two irregular reflecting barriers 2009Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs 2012Numerical Methods in Finance 2015A PRIMAL–DUAL ALGORITHM FOR BSDES 2023Numerical methods for backward stochastic differential equations: A survey

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2005Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approacharticle · 8 shared references 2008Discrete-time approximation for continuously and discretely reflected BSDEsarticle · 7 shared references 2023Numerical methods for backward stochastic differential equations: A surveyarticle · 7 shared references 2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONSarticle · 6 shared references 2006Error expansion for the discretization of backward stochastic differential equationsarticle · 6 shared references 2012Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methodschapter · 6 shared references

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Year2005

Typearticle

Published2005-01-19

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2004.05.010

openalex_workW2093342865

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2008Numerical simulation of BSDEs using empirical regression methods: theory and practice

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