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Theory and Modern Applications

Table 1 Error of results \(\overline{Y}^{\Delta ,S}_{0}\) for example

From: A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations

M

N = 5

N = 10

N = 15

N = 20

N = 25

7

6.1E–1

5.72E–1

5.21E–1

8.11E–2

6.43E–2

13

5.57E–1

5.65E–1

5.34E–1

7.42E–2

5.12E–2

17

5.32E–1

4.42E–1

4.25E–1

6.3E–2

5.43E–2

21

4.13E–1

3.72E–2

3.62E–2

3.63E–2

3.35E–2