Least-Squares Monte Carlo for Backward SDEs

DOI10.1007/978-3-642-25746-9_8zbMath1269.91098OpenAlexW33909759MaRDI QIDQ2917434

Christian Bender, Jessica Steiner

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_8

zbMATH Keywords

Monte Carlooption pricingnumerical approximationbackward SDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• ShearLab

Cites Work

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