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

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

2005-08-25

arxiv.org/abs/math/0508491v1

Annals of Applied Probability 2005, Vol. 15, No. 3, 2172-2202

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051605000000412 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051605000000412

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 interest rates.

Affiliated with

Also associated with

No associations

Rating

A regression-based Monte Carlo method to solve backward stochastic differential equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A regression-based Monte Carlo method to solve backward stochastic differential equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A regression-based Monte Carlo method to solve backward stochastic differential equations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-263230