RT Journal Article
T1 On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
A1 Moreno, Manuel
A1 F. Navas, Javier
K1 Least-Squares Monte Carlo
K1 Option Pricing
K1 American Options
AB This paper analyses the robustness of Least-Squares Monte Carlo, a technique proposed by Longstaff and Schwartz (2001) for pricing American options. This method is based on least-squares regressions in which the explanatory variables are certain polynomial functions. We analyze the impact of different basis functions on option prices. Numerical results for American put options show that this approach is quite robust to the choice of basis functions. For more complex derivatives, this choice can slightly affect option prices.
PB Springer
YR 2003
FD 2003-03-14
LK https://hdl.handle.net/10433/21704
UL https://hdl.handle.net/10433/21704
LA en
NO The Review of Derivatives Research, 6, 2, 107-128 (2003)
NO Departamento de Economía Financiera y Contabilidad
DS RIO
RD May 5, 2026