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April 2011 The Longstaff–Schwartz algorithm for Lévy models: Results on fast and slow convergence
Stefan Gerhold
Ann. Appl. Probab. 21(2): 589-608 (April 2011). DOI: 10.1214/10-AAP704

Abstract

We investigate the Longstaff–Schwartz algorithm for American option pricing assuming that both the number of regressors and the number of Monte Carlo paths tend to infinity. Our main results concern extensions, respectively, applications of results by Glasserman and Yu [Ann. Appl. Probab. 14 (2004) 2090–2119] and Stentoft [Manag. Sci. 50 (2004) 1193–1203] to several Lévy models, in particular the geometric Meixner model. A convenient setting to analyze this convergence problem is provided by the Lévy–Sheffer systems introduced by Schoutens and Teugels.

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Stefan Gerhold. "The Longstaff–Schwartz algorithm for Lévy models: Results on fast and slow convergence." Ann. Appl. Probab. 21 (2) 589 - 608, April 2011. https://doi.org/10.1214/10-AAP704

Information

Published: April 2011
First available in Project Euclid: 22 March 2011

zbMATH: 1219.62161
MathSciNet: MR2807967
Digital Object Identifier: 10.1214/10-AAP704

Subjects:
Primary: 62P05
Secondary: 33C45

Rights: Copyright © 2011 Institute of Mathematical Statistics

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Vol.21 • No. 2 • April 2011
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