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Representations and regularities for solutions to BSDEs with reflections
16 references·9 citing·36 second hop
Representations and regularities for solutions to BSDEs with reflections (2005)Representations and regularities for solu…Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…Representation theorems for backward stochastic differential equations (2002)Representation theorems for b…An analysis of a least squares regression method for American option pricing (2002)An analysis of a least square…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Forward-Backward Stochastic Differential Equations and Their Applications (1999)Forward-Backward Stochastic D…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Reflected Backward SDEs and American Options (1997)Reflected Backward SDEs and A…Pricing American-style securities using simulation (1997)Pricing American-style securi…Equations différentielles stochastiques rétrogrades réfléchies dans un convexe (1996)Equations différentielles sto…Backward stochastic differential equations with reflection and Dynkin games (1996)Backward stochastic different…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Numerical methods for backward stochastic differential equations: A survey (2023)Numerical methods for backwar…A PRIMAL–DUAL ALGORITHM FOR BSDES (2015)A PRIMAL–DUAL ALGORITHM FOR B…Numerical Methods in Finance (2012)Numerical Methods in FinanceDiscrete-time approximation of multidimensional BSDEs with oblique reflections (2012)Discrete-time approximation o…BSDEs with monotone generator and two irregular reflecting barriers (2012)BSDEs with monotone generator…Convertible Bonds in a Defaultable Diffusion Model (2011)Convertible Bonds in a Defaul…Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs (2009)Discrete-time approximation o…Numerical simulation of BSDEs using empirical regression methods: theory and practice (2008)Numerical simulation of BSDEs…Discrete-time approximation for continuously and discretely reflected BSDEs (2008)Discrete-time approximation f…Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Monte Carlo valuation of American options (2002)Measuring Market Risk (2005)Regression methods for pricing complex American-style options (2001)A Monte Carlo Method for Optimal Portfolios (2003)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Continuous Martingales and Brownian Motion (1999)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Stochastic Differential Equations (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)A stochastic mesh method for pricing high-dimensional American options (2004)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)Stochastic Calculus with Respect to Gaussian Processes (2001)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)A numerical scheme for BSDEs (2004)
this work references cited by second hop

References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2002An analysis of a least squares regression method for American option pricing342 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games321 cited
  • 1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 2002Representation theorems for backward stochastic differential equations137 cited
  • 1997

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Reflected Backward SDEs and American Options
130 cited
  • 1996Equations différentielles stochastiques rétrogrades réfléchies dans un convexe91 cited
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    • 2009Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs47 cited
    • 2012Numerical Methods in Finance43 cited
    • 2015A PRIMAL–DUAL ALGORITHM FOR BSDES35 cited
    • 2023Numerical methods for backward stochastic differential equations: A survey32 cited
    • 2008Numerical simulation of BSDEs using empirical regression methods: theory and practice28 cited
    • 2011Convertible Bonds in a Defaultable Diffusion Model26 cited
    • 2012Discrete-time approximation of multidimensional BSDEs with oblique reflections22 cited