Least-Squares Monte Carlo for Backward SDEs
From MaRDI portal
Publication:2917434
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
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
Cites Work
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