The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203)
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scientific article; zbMATH DE number 5886811
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| English | The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence |
scientific article; zbMATH DE number 5886811 |
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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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0.8130741119384766
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0.812516987323761
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0.8086151480674744
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0.7996892929077148
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0.7947620153427124
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