An analysis of the Longstaff-Schwartz algorithm for American option pricing

Clement, E.Lamberton, D.Protter, P.2007-11-092007-11-092001-091296https://hdl.handle.net/1813/9176An analysis of the Longstaff-Schwartz algorithm for American option pricing243158 bytesapplication/pdfen-USOperations ResearchIndustrial Engineeringtechnical reportAn analysis of the Longstaff-Schwartz algorithm for American option pricingtechnical report