This paper is motivated by the following question: How to construct good approximation for the distribution of the solution value to linear optimization problem, when the random objective coefficients follow a multivariate normal distribution? Using Stein's Identity, we show that the least...

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...