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Least-Squares Monte Carlo for Backward SDEs
16 references·10 citing·31 second hopsampled
Least-Squares Monte Carlo for Backward SDEs (2012)Least-Squares Monte Carlo for Backward SD…Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Discrete-time approximation o…A forward scheme for backward SDEs (2007)A forward scheme for backward…Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006)Rate of convergence of an emp…Numerical Algorithms for Forward-Backward Stochastic Differential Equations (2006)Numerical Algorithms for Forw…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…Number of paths versus number of basis functions in American option pricing (2004)Number of paths versus number…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 BSDEsA quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)A quantization algorithm for …Numberical Method for Backward Stochastic Differential Equations (2002)Numberical Method for Backwar…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Optimal Replication of Contingent Claims under Portfolio Constraints (1998)Optimal Replication of Contin…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Numerical methods for forward-backward stochastic differential equations (1996)Numerical methods for forward…Options on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…Numerical methods for backward stochastic differential equations: A survey (2023)Numerical methods for backwar…Mean‐field games with differing beliefs for algorithmic trading (2020)Mean‐field games with differi…Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (2017)Improved error bounds for qua…Numerical simulation of quadratic BSDEs (2016)Numerical simulation of quadr…Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (2015)Approximation of backward sto…A PRIMAL–DUAL ALGORITHM FOR BSDES (2015)A PRIMAL–DUAL ALGORITHM FOR B…A monotone scheme for high-dimensional fully nonlinear PDEs (2015)A monotone scheme for high-di…A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (2015)A Fourier Cosine Method for a…Simulation of BSDEs by Wiener chaos expansion (2014)Simulation of BSDEs by Wiener…Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance (2014)Numerical Fourier Method and …Adapted solution of a backward stochastic differential equation (1990)Hedging of contingent claims under incomplete information (1990)A Finite Horizon Optimal Multiple Switching Problem (2009)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear 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)Stochastic Differential Utility (1992)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (2006)Numerical solution of stochastic differential equations (2016)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The valuation of options for alternative stochastic processes (1976)Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Valuation of High Dimensional Multivariate American Securities (1995)A stochastic mesh method for pricing high-dimensional American options (2004)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (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)Time discretization and Markovian iteration for coupled FBSDEs (2006)New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations (2014)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)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
  • 1987Options on the Maximum or the Minimum of Several Assets405 cited
  • 2004A numerical scheme for BSDEs371 cited
  • 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems213 cited
  • 2007A forward scheme for backward SDEs186 cited
  • 1996Numerical methods for forward-backward stochastic differential equations181 cited
  • 2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
  • 2002Numberical Method for Backward Stochastic Differential Equations154 cited
  • 2004Number of paths versus number of basis functions in American option pricing151 cited
  • 2007Discrete-time approximation of decoupled Forward–Backward SDE with jumps140 cited
  • 2006A forward–backward stochastic algorithm for quasi-linear PDEs136 cited
  • 1998

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Optimal Replication of Contingent Claims under Portfolio Constraints
130 cited
  • 2006Numerical Algorithms for Forward-Backward Stochastic Differential Equations111 cited
  • Cited by

    • 2015A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs80 cited
    • 2014Simulation of BSDEs by Wiener chaos expansion71 cited
    • 2020Mean‐field games with differing beliefs for algorithmic trading66 cited
    • 2016Numerical simulation of quadratic BSDEs58 cited
    • 2015A monotone scheme for high-dimensional fully nonlinear PDEs53 cited
    • 2015Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression42 cited
    • 2014Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance37 cited
    • 2015A PRIMAL–DUAL ALGORITHM FOR BSDES35 cited
    • 2023Numerical methods for backward stochastic differential equations: A survey32 cited
    • 2017Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering28 cited