exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and … of simulation setup, the characteristics of the option, and the dimensionality of the problem. Finally, because our …

and variance in simulation-and-regression based methods. Our suggested method uses regressions under the importance …

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and … since then the method has rapidly gained importance. However, the idea of using regression and simulation for American …

Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can …