General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm (Q3387908)
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scientific article; zbMATH DE number 7291301
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| English | General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm |
scientific article; zbMATH DE number 7291301 |
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General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm (English)
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8 January 2021
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least-squares regression
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optimal stopping criteria
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statistical learning theory
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Monte Carlo algorithms
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American options
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0.9180446863174438
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0.889605700969696
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0.8689737915992737
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0.848194420337677
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0.8023151159286499
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