A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406)

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scientific article; zbMATH DE number 6751209

Language	Label	Description	Also known as
English	A PRIMAL–DUAL ALGORITHM FOR BSDES	scientific article; zbMATH DE number 6751209

Statements

scholarly article

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A PRIMAL–DUAL ALGORITHM FOR BSDES (English)

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Christian Bender

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Nikolaus Schweizer

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Mathematical Finance

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publication date

21 July 2017

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full work available at URL

https://arxiv.org/abs/1310.3694

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zbMATH Keywords

BSDE

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numerical approximation

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Monte Carlo

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option pricing

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MaRDI profile type

MaRDI publication profile

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Reducing variance in the numerical solution of BSDEs

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A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

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Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

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Solving optimal stopping problems via empirical dual optimization

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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

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Multilevel dual approach for pricing American style derivatives

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A forward scheme for backward SDEs

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A Posteriori Estimates for Backward SDEs

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Discrete-time approximation for continuously and discretely reflected BSDEs

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Discrete-time approximation of decoupled Forward-Backward SDE with jumps

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Information Relaxations and Duality in Stochastic Dynamic Programs

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Numerical simulation of quadratic BSDEs

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BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

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A general theory of finite state backward stochastic difference equations

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COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA

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Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

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Recursive valuation of defaultable securities and the timing of resolution of uncertainty

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Backward Stochastic Differential Equations in Finance

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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Error expansion for the discretization of backward stochastic differential equations

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\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions

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Pricing American Options: A Duality Approach

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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

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An overview of the valuation of collateralized derivative contracts

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Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

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Representations and regularities for solutions to BSDEs with reflections

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The Malliavin Calculus and Related Topics

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Monte Carlo valuation of American options

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Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products

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A numerical scheme for BSDEs

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A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

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10.1111/mafi.12100

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5283406

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