Stentoft, Lars - In: Management Science 50 (2004) 9, pp. 1193-1203
In a recent paper, Longstaff and Schwartz (2001) suggest a method to American option valuation based on simulation. The method is termed the Least Squares Monte Carlo (LSM) method, and although it has become widely used, not much is known about the properties of the estimator. This paper...