Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation). (arXiv:1707.04942v1 [q-fin.CP])

In this note we derive the backward (automatic) differentiation (adjoint [automatic] differentiation) for an algorithm containing a conditional expectation operator. As an example we consider the backward algorithm as it is used in Bermudan product valuation, but the method is applicable in full generality.