A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations
نویسندگان
چکیده
Abstract The purpose of this paper is to investigate the numerical solutions two-dimensional forward backward stochastic differential equations(FBSDEs). Based on Fourier cos-cos transform, approximations conditional expectations and their errors are studied with characteristic functions. A new scheme proposed by using least-squares regression-based Monte Carlo method solve initial value FBSDEs. Finally, a experiment in European option pricing implemented test efficiency stability scheme.
منابع مشابه
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ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2021
ISSN: ['1687-1839', '1687-1847']
DOI: https://doi.org/10.1186/s13662-021-03361-5