期刊论文详细信息
Advances in Difference Equations | |
A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations | |
Chuan Qin1  Songbo Hu2  Quanxin Zhu3  Yi Wu4  Xiaofei Li5  | |
[1] College of Engineering and Technology, Yangtze University;Jiangxi Province Key Laboratory of Preventive Medicine, School of Public Health, Nanchang University;MOE LCSM, School of Mathematics and Statistics, Hunan Normal University;School of Information and Mathematics, Yangtze University;Zhuhai Da Hengqin Science and Technology Development Co Ltd; | |
关键词: Forward backward stochastic differential equations; Fourier cos-cos transform; Characteristic functions; Least-squares regressions; Monte Carlo; | |
DOI : 10.1186/s13662-021-03361-5 | |
来源: DOAJ |
【 摘 要 】
Abstract The purpose of this paper is to investigate the numerical solutions to two-dimensional forward backward stochastic differential equations(FBSDEs). Based on the Fourier cos-cos transform, the approximations of conditional expectations and their errors are studied with conditional characteristic functions. A new numerical scheme is proposed by using the least-squares regression-based Monte Carlo method to solve the initial value of FBSDEs. Finally, a numerical experiment in European option pricing is implemented to test the efficiency and stability of this scheme.
【 授权许可】
Unknown