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- W2043281212 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." @default.
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- W2043281212 date "2005-08-01" @default.
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- W2043281212 title "A regression-based Monte Carlo method to solve backward stochastic differential equations" @default.
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- W2043281212 doi "https://doi.org/10.1214/105051605000000412" @default.
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