Least-Squares Monte Carlo for Backward SDEs (Q2917434): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4357509 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A quantization algorithm for solving multidimensional discrete-time optimal stopping problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: A forward scheme for backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Importance Sampling for Backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Posteriori Estimates for Backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time discretization and Markovian iteration for coupled FBSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation for continuously and discretely reflected BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation of decoupled Forward-Backward SDE with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3656686 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Donsker-type theorem for BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4356591 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: A forward-backward stochastic algorithm for quasi-linear PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical methods for forward-backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4453509 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Number of paths versus number of basis functions in American option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error expansion for the discretization of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving BSDE with Adaptive Control Variate / rank
 
Normal rank
Property / cites work
 
Property / cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Results on Numerics for FBSDE with Drivers of Quadratic Growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical method for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Numerical Approximations of Forward-Backward Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representations and regularities for solutions to BSDEs with reflections / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Algorithms for Forward-Backward Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical simulation of BSDEs with drivers of quadratic growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical scheme for BSDEs / rank
 
Normal rank

Latest revision as of 17:15, 5 July 2024

scientific article
Language Label Description Also known as
English
Least-Squares Monte Carlo for Backward SDEs
scientific article

    Statements

    Least-Squares Monte Carlo for Backward SDEs (English)
    0 references
    0 references
    0 references
    28 September 2012
    0 references
    backward SDE
    0 references
    Monte Carlo
    0 references
    numerical approximation
    0 references
    option pricing
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references