The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance

By Zhipeng Huang, Cornelis W. Oosterlee

Published 2026-02-02

Everscope rating

2000.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Compound BSDE Method. Problem types: Optimization, Risk Management, Portfolio Optimization, Structured Prediction.

arXiv:2601.18634 · Code · Paper rankings

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