Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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References listed on IDEAS
- repec:dau:papers:123456789/1802 is not listed on IDEAS
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux, 2001. "Applications of Malliavin calculus to Monte-Carlo methods in finance. II," Finance and Stochastics, Springer, vol. 5(2), pages 201-236.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
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- Bruno Bouchard & Ivar Ekeland & Nizar Touzi, 2004. "On the Malliavin approach to Monte Carlo approximation of conditional expectations," Finance and Stochastics, Springer, vol. 8(1), pages 45-71, January.
- Coquet, François & Mackevicius, Vigirdas & Mémin, Jean, 1998. "Stability in of martingales and backward equations under discretization of filtration," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 235-248, July.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
More about this item
KeywordsMonte-Carlo methods for (reflected) forward-backward SDEs Malliavin calculus Regression estimation;
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