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Longstaff-Schwartz Method for American Options by mehdi is a document available to read on EtoBox.
What is Longstaff-Schwartz Method for American Options about?
The Longstaff-Schwartz Method (LSM) is a technique for pricing American options by combining Monte Carlo simulations with regression to determine optimal early exercise strategies. It estimates the continuation value of the option using least squares regression on a set of basis functions, typically Laguerre polynomials, and applies backward induction to compute the option price. The document also includes a Python implementation of the LSM for practical application.
- Author
- mehdi
- Language
- EN