Monteiro de Lima, Ursula Silveira; Samanez, Carlos P. - In: Financial innovation : FIN 2 (2016) 4, pp. 1-14
Background: This article investigates the Least-Squares Monte Carlo Method by using different polynomial basis in American Asian Options pricing. The standard approach in the option pricing literature is to choose the basis arbitrarily. By comparing four different polynomial basis we show that...
