4.4 Article

Stochastic grid bundling method for backward stochastic differential equations

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Statistics & Probability

A regression-based numerical scheme for backward stochastic differential equations

Deng Ding et al.

COMPUTATIONAL STATISTICS (2017)

Article Mathematics, Applied

LINEAR REGRESSION MDP SCHEME FOR DISCRETE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS UNDER GENERAL CONDITIONS

Emmanuel Gobet et al.

MATHEMATICS OF COMPUTATION (2016)

Article Mathematics, Applied

STRATIFIED REGRESSION MONTE-CARLO SCHEME FOR SEMILINEAR PDEs AND BSDEs WITH LARGE SCALE PARALLELIZATION ON GPUs

E. Gobet et al.

SIAM JOURNAL ON SCIENTIFIC COMPUTING (2016)

Article Mathematics, Applied

The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks

Shashi Jain et al.

APPLIED MATHEMATICS AND COMPUTATION (2015)

Article Mathematics, Applied

Pricing Bermudan options under Merton jump-diffusion asset dynamics

F. Cong et al.

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS (2015)

Article Mathematics, Applied

GPU acceleration of the stochastic grid bundling method for early-exercise options

Alvaro Leitao et al.

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS (2015)

Article Mathematics, Applied

A FOURIER COSINE METHOD FOR AN EFFICIENT COMPUTATION OF SOLUTIONS TO BSDEs

M. J. Ruijter et al.

SIAM JOURNAL ON SCIENTIFIC COMPUTING (2015)

Article Business, Finance

EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK

Cornelis S. L. De Graaf et al.

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (2014)

Article Mathematics, Applied

A GENERALIZED θ-SCHEME FOR SOLVING BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Weidong Zhao et al.

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B (2012)

Article Statistics & Probability

On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights

D. Crisan et al.

STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2010)

Article Mathematics, Applied

ERROR ESTIMATES OF THE θ-SCHEME FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Weidong Zhao et al.

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B (2009)

Article Mathematics, Applied

Efficient hierarchical approximation of high-dimensional option pricing problems

Christoph Reisinger et al.

SIAM JOURNAL ON SCIENTIFIC COMPUTING (2007)

Article Statistics & Probability

A regression-based Monte Carlo method to solve backward stochastic differential equations

E Gobet et al.

ANNALS OF APPLIED PROBABILITY (2005)

Article Statistics & Probability

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

B Bouchard et al.

STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2004)