Moreno, Manuel; Navas, Javier - In: Review of Derivatives Research 6 (2003) 2, pp. 107-128
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...