Stochastic grid bundling method for backward stochastic differential equations

DOI10.1080/00207160.2019.1658868zbMath1499.91165arXiv1801.05180OpenAlexW2783770990WikidataQ127334681 ScholiaQ127334681MaRDI QIDQ5031712

K. W. Chau, Cornelis W. Oosterlee

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.05180

zbMATH Keywords

bundlingBSDEMonte-CarloSGBMregress-later

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Convergence of a Robust Deep FBSDE Method for Stochastic Control ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA ⋮ ``Regression anytime with brute-force SVD truncation

Cites Work

• Unnamed Item
• Unnamed Item
• A generalized \(\theta\)-scheme for solving backward stochastic differential equations
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• Almost surely consistent nonparametric regression from recursive partitioning schemes
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
• Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
• A regression-based numerical scheme for backward stochastic differential equations
• A distribution-free theory of nonparametric regression
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• Pricing Bermudan options under Merton jump-diffusion asset dynamics
• GPU acceleration of the stochastic grid bundling method for early-exercise options
• Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs
• EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
• Least-Squares Monte Carlo for Backward SDEs
• Backward Stochastic Differential Equations in Finance
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

This page was built for publication: Stochastic grid bundling method for backward stochastic differential equations