In the Longstaff-Schwartz Least-Squares Monte Carlo (LSM) method for American option pricing, the early-exercise strategy is based on a regression of future option values on current state variables. The dependence between continuation values and future cash flows results in potential model...

When valuing American options with simulations and regressions, Rasmussen (2005) demonstrated that the variance-minimizing control variate is sampled at the recorded exercise time. The present article further discusses the application of optimal control variates in the context of the...