论文信息 - Reducing variance in the numerical solution of BSDEs

Reducing variance in the numerical solution of BSDEs

Numerical methods based on time discretization and estimation of conditional expectations for solving backward stochastic di↵erential equations (BSDEs) have been the object of considerable research, particularly in view of the applications to finance. We introduce and implement a simple control variate technique to reduce the simulation error of the conditional expectation estimates in BSDE methods. These modifications increase the accuracy of the existing algorithms without additional computational cost.To cite this article: S. Alanko, M. Avellaneda, C. R. Acad. Sci. Paris, Ser. I 340 (2005).

Marco Avellaneda | Samu Alanko | M. Avellaneda | Samu Alanko

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