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 option pricing was used at least as early as in Carriere...

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...