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Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
2001Regression methods for pricing complex American-style options612 cited
2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
2002An analysis of a least squares regression method for American option pricing342 cited
1999Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives326 cited
2007A forward scheme for backward SDEs186 cited
2004Convergence of the Least Squares Monte Carlo Approach to American Option Valuation183 cited
2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
2004Number of paths versus number of basis functions in American option pricing151 cited
2005Monte Carlo algorithms for optimal stopping and statistical learning130 cited
2010PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS92 cited
2007A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options64 cited

Cited by

2016The difference between LSMC and replicating portfolio in insurance liability modeling36 cited
2015Sequential Design for Optimal Stopping Problems

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31 cited

2017An improved least squares Monte Carlo valuation method based on heteroscedasticity28 cited