R. Aïd, L. Campi, N. Langrené, and H. Pham, A probabilistic numerical method for optimal multiple switching problem in high dimension

S. Alanko and M. Avellaneda, Reducing variance in the numerical solution of BSDEs, Comptes Rendus Mathematique, vol.351, issue.3-4, pp.135-138, 2013.
DOI : 10.1016/j.crma.2013.02.010

B. Bouchard and X. Warin, Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods, Numerical Methods in Finance, 2012.
URL : https://hal.archives-ouvertes.fr/hal-00486825

P. Cheridito, M. Soner, N. Touzi, and N. Victoir, Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs, Communications on Pure and Applied Mathematics, vol.1627, issue.7, pp.1081-1110, 2007.
DOI : 10.1002/cpa.20168

A. Fahim, N. Touzi, and X. Warin, A probabilistic numerical method for fully nonlinear parabolic PDEs, The Annals of Applied Probability, vol.21, issue.4, pp.1322-1364, 2011.
DOI : 10.1214/10-AAP723

URL : https://hal.archives-ouvertes.fr/hal-00367103

E. Gobet and P. Turkedjiev, Approximation of discrete BSDE using least-squares regression, 2011.
URL : https://hal.archives-ouvertes.fr/hal-00642656

J. Guyon and P. Henry-labordère, Uncertain Volatility Model: A Monte-Carlo Approach, The Journal of Computational Finance, vol.14, issue.3, pp.37-71, 2011.
DOI : 10.21314/JCF.2011.233

I. Kharroubi, N. Langrené, and H. Pham, Abstract., Monte Carlo Methods and Applications, vol.20, issue.2, 2013.
DOI : 10.1515/mcma-2013-0024

URL : https://hal.archives-ouvertes.fr/hal-00395363

I. Kharroubi and H. Pham, Feynman???Kac representation for Hamilton???Jacobi???Bellman IPDE, The Annals of Probability, vol.43, issue.4, 2012.
DOI : 10.1214/14-AOP920

URL : https://hal.archives-ouvertes.fr/hal-01172290

J. Lemor, E. Gobet, and X. Warin, Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations, Bernoulli, vol.12, issue.5, pp.889-916, 2006.
DOI : 10.3150/bj/1161614951

URL : https://hal.archives-ouvertes.fr/hal-00394976

F. Longstaff and E. Schwartz, Valuing American Options by Simulation: A Simple Least-Squares Approach, Review of Financial Studies, vol.14, issue.1, pp.113-147, 2001.
DOI : 10.1093/rfs/14.1.113

M. Mrad, Méthodes numériques d'évaluation et de couverture des options exotiques multi-sousjacents : modèles de marché et modèles à volatilité incertaine

A. , N. Huu, and N. Oudjane, Hedging expected losses on derivatives in electricity Futures markets, 2013.
URL : https://hal.archives-ouvertes.fr/hal-00940327

D. Talay, Model Risk in Finance: Some Modeling and Numerical Analysis Issues, Mathematical Modeling and Numerical Methods in Finance, pp.3-28, 2008.
DOI : 10.1016/S1570-8659(08)00001-x

J. Tsitsiklis and B. Van-roy, Regression methods for pricing complex American-style options, IEEE Transactions on Neural Networks, vol.12, issue.4, pp.694-703, 2001.
DOI : 10.1109/72.935083

J. Yong and X. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations, 1999.
DOI : 10.1007/978-1-4612-1466-3

D. Zanger, Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing, Finance and Stochastics, vol.16, issue.3, 2012.
DOI : 10.1007/s00780-013-0204-9