General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm

DOI10.1287/MOOR.2019.1017zbMATH Open1457.65004OpenAlexW2990930513MaRDI QIDQ3387908FDOQ3387908

Authors: Daniel Z. Zanger 

Publication date: 8 January 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2019.1017

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zbMATH Keywords

American optionsMonte Carlo algorithmsleast-squares regressionstatistical learning theoryoptimal stopping criteria

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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Cited In (4)

• Nonexact oracle inequalities, \(r\)-learnability, and fast rates
• Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
• American option pricing with regression: convergence analysis
• Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing

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