The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
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Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Abstract: We investigate the Longstaff--Schwartz algorithm for American option pricing assuming that both the number of regressors and the number of Monte Carlo paths tend to infinity. Our main results concern extensions, respectively, applications of results by Glasserman and Yu [Ann. Appl. Probab. 14 (2004) 2090--2119] and Stentoft [Manag. Sci. 50 (2004) 1193--1203] to several L'{e}vy models, in particular the geometric Meixner model. A convenient setting to analyze this convergence problem is provided by the L'{e}vy--Sheffer systems introduced by Schoutens and Teugels.
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Cited in
(11)- The difference between LSMC and replicating portfolio in insurance liability modeling
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results
- General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
- Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data
- On the convergence of the quasi-regression method: polynomial chaos and regularity
- XVA principles, nested Monte Carlo strategies, and GPU optimizations
- American option pricing with regression: convergence analysis
- A perturbative approach to Bermudan options pricing with applications
- On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation
- Pricing American option under exponential Levy jump-diffusion model using random forest instead of least square regression
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