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Least-Squares Monte Carlo for Backward SDEs · Study

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ChapterLeast-Squares Monte Carlo for Backward SDEs

Christian Bender2012

Chapter2012

Least-Squares Monte Carlo for Backward SDEs

Christian Bender

85 citations·0/0 files stored·Springer proceedings in mathematics

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Stochastic processes and financial applications Fuzzy Systems and Optimization Mathematical Approximation and Integration

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1997Backward Stochastic Differential Equations in Finance 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations 2005A regression-based Monte Carlo method to solve backward stochastic differential equations 1987Options on the Maximum or the Minimum of Several Assets 2004A numerical scheme for BSDEs 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems 2007A forward scheme for backward SDEs

Cited by

2015A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs 2014Simulation of BSDEs by Wiener chaos expansion 2020Mean‐field games with differing beliefs for algorithmic trading 2016Numerical simulation of quadratic BSDEs 2015A monotone scheme for high-dimensional fully nonlinear PDEs 2015Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

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2023Numerical methods for backward stochastic differential equations: A surveyarticle · 18 shared references 2008On Numerical Approximations of Forward-Backward Stochastic Differential Equationsarticle · 13 shared references 2012A generalized $\theta$-scheme for solving backward stochastic differential equationsarticle · 12 shared references 2014New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equationsarticle · 11 shared references 2009Error estimates of the $\theta$-scheme for backward stochastic differentialequationsarticle · 11 shared references 2014Second order discretization of backward SDEs and simulation with the cubature methodarticle · 11 shared references

Details

Year2012

Typechapter

Published2012-01-01

VenueSpringer proceedings in mathematics

ISSN-L2190-5614

Languageen

Citations85

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-25746-9_8

openalex_workW33909759

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2014Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance

2015A PRIMAL–DUAL ALGORITHM FOR BSDES