Least-Squares Monte Carlo for Backward SDEs (Q2917434)

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Least-Squares Monte Carlo for Backward SDEs
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    Statements

    title
    Least-Squares Monte Carlo for Backward SDEs (English)
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    author
    Christian Bender
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    Jessica Steiner
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    publication date
    28 September 2012
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    zbMATH Keywords
    backward SDE
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    Monte Carlo
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    numerical approximation
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    option pricing
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    65C30
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    91G20
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    zbMATH DE Number
    6088203
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