10 citations · 22 across the 6 of their papers we have counts for
7 papers
On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
Long Teng
In this work, we study the pricing of American options under stochastic local volatility (SLV) models extended by including stochastic correlation driven by an additional stochasti…
Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
Long Teng
In this work we propose a new algorithm for solving high-dimensional backward stochastic differential equations (BSDEs). Based on the general theta-discretization for the time-inte…
High-order combined Multi-step Scheme for solving forward Backward Stochastic Differential Equations
Long Teng, Weidong Zhao
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu a…
Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations
Lorenc Kapllani, Long Teng
In this work, we propose a new deep learning-based scheme for solving high dimensional nonlinear backward stochastic differential equations (BSDEs). The idea is to reformulate the…
Multistep schemes for solving backward stochastic differential equations on GPU
Lorenc Kapllani, Long Teng
The goal of this work is to parallelize the multistep scheme for the numerical approximation of the backward stochastic differential equations (BSDEs) in order to achieve both, a h…
A Multi-step Scheme based on Cubic Spline for solving Backward Stochastic Differential Equations
Long Teng, Aleksandr Lapitckii, Michael Günther
In this work we study a multi-step scheme on time-space grids proposed by W. Zhao et al. [28] for solving backward stochastic differential equations, where Lagrange interpolating p…
A Review of Tree-based Approaches to solve Forward-Backward Stochastic Differential Equations
Long Teng
In this work, we study solving (decoupled) forward-backward stochastic differential equations (FBSDEs) numerically using the regression trees. Based on the general theta-discretiza…