Stochastic grid bundling method for backward stochastic differential equations
Author:
Affiliation:
1. Centrum Wiskunde & Informatica, Amsterdam, The Netherlands
2. Department of Applied Mathematics, Delft University of Technology, Delft, The Netherlands
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207160.2019.1658868
Reference18 articles.
1. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
2. Pricing Bermudan options under Merton jump-diffusion asset dynamics
3. On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights
4. EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
5. A regression-based numerical scheme for backward stochastic differential equations
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