Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options

4 Oct 2018Jeechul WooChenru LiuJaehyuk Choi

The least square Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz [2001] is widely used for pricing American options. The LSM estimator contains undesirable look-ahead bias, and the conventional technique of removing it necessitates doubling simulations... (read more)

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