In this paper we propose a simulation algorithm for the Schöbel-Zhu (1999) model and its extension to include stochastic interest rates, the Schöbel-Zhu-Hull-White model as considered in Van Haastrecht et al. (2009). Both schemes are derived by analyzing the lessons learned from the Andersen...

In this paper we propose a simulation algorithm for the Schöbel-Zhu (1999) model and its extension to include stochastic interest rates, the Schöbel-Zhu-Hull-White model as considered in Van Haastrecht et al. (2009). Both schemes are derived by analyzing the lessons learned from the Andersen...

Many problems in financial engineering involve the estimation of unknown conditional expectations across a time interval. Often Least Squares Monte Carlo techniques are used for the estimation. One method that can be combined with Least Squares Monte Carlo is the "Regress-Later" method. Unlike...