Least squares Monte Carlo (LSM) is commonly used to manage and value early or multiple exercise financial or real options. Recent research in this area has started applying approximate linear programming (ALP) and its relaxations, which aim at addressing a possible ALP drawback. We show that...

Least squares Monte Carlo (LSM) is an approximate dynamic programming (ADP) technique commonly used for the valuation of high dimensional financial and real options, but has broader applicability. It is known that the regress-later version of this method is an approximate linear programming...