An analysis of a least squares regression method for American option pricing

• 1 October 2002
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 6  (4) , 449-471
• https://doi.org/10.1007/s007800200071

Abstract

Keywords

• LEAST SQUARES REGRESSION
• OPTIMAL STOPPING
• AMERICAN OPTIONS
• MONTE-CARLO METHODS