General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm - Zanger, Daniel Z. (Mathematics of operations research, 2020)
Keywords: Algorithms; American options; Approximation; Estimates; Finite element analysis; Least squares method; least-squares regression; Mathematical analysis; Monte Carlo algorithms; Monte Carlo simulation; Operations research; optimal stopping; Optimization; Polynomials; Primary: 65C05; Primary: dynamic programming/optimal control: Markov; Secondary: 62L15, 60J20, 91B70, 93E24; Secondary: Finance: asset pricing/statistics: regression; statistical learning theory