A regression-based Monte Carlo method to solve backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
A Regression-based Monte Carlo Method to Solve Backward Stochastic Differential Equations1 by Emmanuel Gobet, Jean-philippe Lemor
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. A full convergence analysis is derived. Numerical experiments about finance are included, in particular, concerning option pricing with differential intere...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2005
ISSN: 1050-5164
DOI: 10.1214/105051605000000412