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We introduce a forward scheme to simulate backward SDEs. Compared
to existing schemes, we avoid high order nestings of conditional
expectations backwards in time. In this way the error, when
approximating the conditional expectation, in dependence of the
time partition is significantly reduced. Besides this generic
result, we present an implementable algorithm and provide an error
analysis for it. Finally, we demonstrate the strength of the new
algorithm by solving some financial problems numerically.