We propose a new forward-backward stochastic differential equation solver for highdimensional derivative pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo method for the valuation of American options. Our...

In this paper, enlightened by the asymptotic expansion methodology developed by Li (2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition densities of the stochastic differential equations (SDEs) driven by the gamma processes, a special type of Levy processes....