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

By Emmanuelle Clement, Damien Lamberton, Philip Protter. Finance and Stochastics, 2002

360 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/144146511baed8df57289525cebb8fcc9f5f673e

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Citations in the corpus

Discrete-time approximation for continuously and discretely reflected BSDEs (2008, background): “Di erent techniques for computing these conditional expectations are discussed in [1], [3], [4] and [6], see also the references therein, and can be easily adapted to our context without any further analysis.”
Pricing Asset Scheduling Flexibility using Optimal Switching (2008, methodology): “For the LS scheme it has been shown that the use of optimal-stopping-time iteration in (31) is consistent, namely that, for a fixed NB, the asymptotic sampling error as NR‘ has mean zero and Gaussian distribution (Clément et al., 2002).”
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives (2007, background): “Clement, Lamberton, and Protter (2002) analyze it in more detail.”
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (2009, neutral): “Most popular in this respect are the regression-based approaches of Carriere (1996), Longstaff and Schwartz (2001), Tsistsiklis and Van Roy (1999), and Clement et al. (2002).”
Monte Carlo and Quasi-Monte Carlo Sampling (2009, background): “It can be shown that as the number of simulation paths n and the number of basis functions M go to infinity, the bias of the estimator goes to 0 [57].”
A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005, neutral): “in [16].”
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS (2004, neutral): “Convergence of the algorithm in Longstaff and Schwartz (2001) has recently been proven in Clement, Lamberton, and Protter (2002).”
Regression-based algorithms for life insurance contracts with surrender guarantees (2010, neutral): “…Xj and gj in the mth simulation, we set ~uð j,Xmj Þ ¼ j eðXmj Þ with j the least square estimator obtained by solving j ¼ arg min j2RH XM m¼1 ðgm jþ1 j eðXmj ÞÞ 2: ð20Þ Clément et al. (2002) show that, as H goes to infinity, the value function of problem (19) with Uj replaced by ~uð j,XjÞ…”
A regression-based Monte Carlo method to solve backward stochastic differential equations (2005, background): “L2-estimates and a central limit theorem (see also [9] for Bermuda options) are proved.”