Least-squares Monte Carlo for backward SDEs (Q2917434)
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scientific article; zbMATH DE number 6088203
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Least-squares Monte Carlo for backward SDEs |
scientific article; zbMATH DE number 6088203 |
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Least-Squares Monte Carlo for Backward SDEs (English)
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28 September 2012
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backward SDE
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Monte Carlo
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numerical approximation
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option pricing
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0.8281933665275574
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0.814010500907898
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0.8075543642044067
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