The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence |
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The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (English)
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11 May 2011
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option pricing
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dynamic programming
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Monte Carlo
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regression
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orthogonal polynomials
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Lévy-Meixner systems
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