Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367): Difference between revisions

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+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+A regression-based Monte Carlo method to solve backward stochastic differential equations
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+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
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+Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
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