Least-Squares Monte Carlo for Backward SDEs

By Christian Bender, Jessica Steiner. 2012

119 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/5da1278ea9936275b2e8c82698026500365eb9f8

Citations in the corpus

• Numerical simulation of quadratic BSDEs (2013, unknown): “Let us remark that some exponential terms appear in the constant M which lead to a new generator with possibly huge Lipschitz constant with respect to z and may cause numerical difficulties; see [4].”