Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational Economics 44 (2014) 4, pp. 489-506
This paper presents the total least squares quasi-Monte Carlo approach (TLSQM) for valuing American barrier options, which modifies the least-squares Monte Carlo method (LSM). The total least squares are applied to estimate the conditional expected payoff to the option holder from continuation,...