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Importance Sampling for Backward SDEs
16 references·1 citing·33 second hop
Importance Sampling for Backward SDEs (2010)Importance Sampling for Backward SDEsA forward scheme for backward SDEs (2007)A forward scheme for backward…Time discretization and Markovian iteration for coupled FBSDEs (2006)Time discretization and Marko…Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006)Rate of convergence of an emp…Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Bounded solutions to backward…A forward–backward stochastic algorithm for quasi-linear PDEs (2006)A forward–backward stochastic…A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)A regression-based Monte Carl…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…A numerical scheme for BSDEs (2004)A numerical scheme for BSDEsMonte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)A quantization algorithm for …Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Variance Reduction for Simulated Diffusions (1994)Variance Reduction for Simula…Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (2016)Adaptive importance sampling …Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)Adapted solution of a backward stochastic differential equation (1990)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)Stochastic Differential Equations (2003)Optimal Quantization Methods and Applications to Numerical Problems in Finance (2004)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Pricing American Options: A Duality Approach (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)A Theory of the Term Structure of Interest Rates (1985)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Theory of rational option pricing (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Partial Differential Equations (2010)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
  • 2004A numerical scheme for BSDEs371 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems213 cited
  • 2006Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging193 cited
  • 2007A forward scheme for backward SDEs186 cited
  • 2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
  • 2006A forward–backward stochastic algorithm for quasi-linear PDEs136 cited

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2006
Time discretization and Markovian iteration for coupled FBSDEs
106 cited
  • 1994Variance Reduction for Simulated Diffusions94 cited
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    • 2016Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations26 cited