The longstaff-schwartz algorithm for lévy models: Results on fast and slow convergence

Annals of Applied Probability

Volumn 21, Issue 2, 2011, Pages 589-608

  Gerhold, Stefan ^a  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Dynamic programming; L vy Meixner systems; Monte Carlo; Option pricing; Orthogonal polynomials; Regression

Indexed keywords

EID: 79953291304     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/10-AAP704     Document Type: Article

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