A regression-based numerical scheme for backward stochastic differential equations
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DOI: 10.1007/s00180-017-0763-x
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- Bouchard, Bruno & Touzi, Nizar, 2004. "Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 175-206, June.
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Keywords
Characteristic functions; Least-squares regressions; Monte Carlo methods; European options;All these keywords.
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