Abstract
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.
Citation
Emmanuel Gobet. Jean-Philippe Lemor. Xavier Warin. "A regression-based Monte Carlo method to solve backward stochastic differential equations." Ann. Appl. Probab. 15 (3) 2172 - 2202, August 2005. https://doi.org/10.1214/105051605000000412
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