Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Numerical Methods in Finance

14 references·6 citing·39 second hop

FromToDepth

this work references cited by second hop

References

1999Applications of Malliavin calculus to Monte Carlo methods in finance549 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
1996Estimating Security Price Derivatives Using Simulation449 cited
2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
2002An analysis of a least squares regression method for American option pricing342 cited
2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
2005Functional quantization for numerics with an application to option pricing90 cited
2004On the Malliavin approach to Monte Carlo approximation of conditional expectations81 cited
2005Representations and regularities for solutions to BSDEs with reflections58 cited
2008Discrete-time approximation for continuously and discretely reflected BSDEs57 cited
2012Optimal quantization for the pricing of swing options54 cited
2002Variance Reduction Methods for Simulation of Densities on Wiener Space52 cited
2009Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs47 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

2014A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension40 cited
2014Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance37 cited
2017Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering28 cited
2016Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations26 cited
2017A backward Monte Carlo approach to exotic option pricing23 cited
2016On the convergence of monotone schemes for path-dependent PDEs21 cited