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A Multi-Step Algorithm for BSDEs Based On a Predictor-Corrector Scheme and Least-Squares Monte Carlo
Methodology and Computing in Applied Probability ( IF 0.9 ) Pub Date : 2022-02-28 , DOI: 10.1007/s11009-022-09943-4 Qiang Han , Shaolin Ji
中文翻译:
基于预测-校正方案和最小二乘蒙特卡罗的 BSDE 多步算法
更新日期:2022-02-28
Methodology and Computing in Applied Probability ( IF 0.9 ) Pub Date : 2022-02-28 , DOI: 10.1007/s11009-022-09943-4 Qiang Han , Shaolin Ji
中文翻译:
基于预测-校正方案和最小二乘蒙特卡罗的 BSDE 多步算法