Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
نویسندگان
چکیده
منابع مشابه
Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
In this note we derive the backward (automatic) differentiation (adjoint [automatic] differentiation) for an algorithm containing a conditional expectation operator. As an example we consider the backward algorithm as it is used in Bermudan product valuation, but the method is applicable in full generality. The method relies on three simple properties: 1. a forward or backward (automatic) diffe...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3000822