Azofra, S. Alonso, V.; Fuente, G. De La - In: Cogent economics & finance 2 (2014) 1, pp. 1-13
The Least-Squares Monte Carlo model (LSM model) has emerged as the derivative valuation technique with the greatest impact in current practice. As with other options valuation models, the LSM algorithm was initially posited in the field of financial derivatives and its extension to the realm of...