The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence

DOI10.1214/10-AAP704zbMath1219.62161arXiv0802.1831OpenAlexW2062537637MaRDI QIDQ535203

Stefan Gerhold

Publication date: 11 May 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.1831

zbMATH Keywords

dynamic programmingorthogonal polynomialsMonte Carlooption pricingregressionLévy-Meixner systems

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

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