Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Arturo Kohatsu & Roger Pettersson, 2002. "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers 597, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- 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.
- 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.
- 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, 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.
- repec:dau:papers:123456789/1802 is not listed on IDEAS
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Moez Mrad & Nizar Touzi & Amina Zeghal, 2006. "Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 497-531, June.
- Ma, Jin & Zhang, Jianfeng, 2005. "Representations and regularities for solutions to BSDEs with reflections," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 539-569, April.
- Bally Vlad & Caramellino Lucia & Zanette Antonino, 2005. "Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach," Monte Carlo Methods and Applications, De Gruyter, vol. 11(2), pages 97-133, June.
- Abbas-Turki Lokman A. & Bouselmi Aych I. & Mikou Mohammed A., 2014. "Toward a coherent Monte Carlo simulation of CVA," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 195-216, September.
- Bally, Vlad & Pagès, Gilles, 2003. "Error analysis of the optimal quantization algorithm for obstacle problems," Stochastic Processes and their Applications, Elsevier, vol. 106(1), pages 1-40, July.
- Fujiwara, Hajime & Kijima, Masaaki, 2007. "Pricing of path-dependent American options by Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3478-3502, November.
- Crisan, D. & Manolarakis, K. & Touzi, N., 2010. "On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1133-1158, July.
- Yao Tung Huang & Yue Kuen Kwok, 2016. "Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 905-928, June.
- Tebaldi, Claudio, 2005.
"Hedging using simulation: a least squares approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
- Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
- Marta Biancardi & Giovanni Villani, 2017. "Robust Monte Carlo Method for R&D Real Options Valuation," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 481-498, March.
- Gobet, Emmanuel & Labart, Céline, 2007. "Error expansion for the discretization of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 803-829, July.
- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021.
"A Fully Quantization-based Scheme for FBSDEs,"
Working Papers
07/2021, University of Verona, Department of Economics.
- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Papers 2105.09276, arXiv.org.
- Hainaut, Donatien & Akbaraly, Adnane, 2023. "Risk management with Local Least Squares Monte-Carlo," LIDAM Discussion Papers ISBA 2023003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & Jérôme Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Working Papers hal-03436046, HAL.
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020.
"Deep xVA solver -- A neural network based counterparty credit risk management framework,"
Papers
2005.02633, arXiv.org, revised Dec 2022.
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
- Anne Laure Bronstein & Gilles Pagès & Jacques Portès, 2013. "Multi-asset American Options and Parallel Quantization," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 547-561, September.
- Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009.
"Regression methods in pricing American and Bermudan options using consumption processes,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
- Belomestny, Denis & Milstein, Grigori N. & Spokoiny, Vladimir, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers 2006-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Shuai Gao & Jun Zhao, 2016. "Pricing 50ETF in the Way of American Options Based on Least Squares Monte Carlo Simulation," Applied Finance and Accounting, Redfame publishing, vol. 2(2), pages 71-76, August.
- Jakša Cvitanić & Jin Ma & Jianfeng Zhang, 2003. "Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 135-151, January.
- N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
More about this item
Keywords
Monte-Carlo methods for (reflected) forward-backward SDEs Malliavin calculus Regression estimation;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.