Stochastic Grid Bundling Method for Backward Stochastic Differential Equations


We apply stochastic grid bundling method (SGBM) to numerically solve backward stochastic differential equations.SGBM takes advantage of both regress-later and the adaptive local basis to improve on traditional Monte-Carlo... [ view full abstract ]


  1. Ki Wai Chau (Centrum Wiskunde & Informatica)
  2. Cornelis W. Oosterlee (Centrum Wiskunde & Informatica)

Topic Areas

Backward Stochastic Differential Equations , Computational Finance , Numerical Methods


TU-A-DA » Computational Finance (11:30 - Tuesday, 17th July, Davis)

Presentation Files

The presenter has not uploaded any presentation files.