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On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. (English) Zbl 1059.91047
Summary: This paper analyses the robustness of Least-Squares Monte Carlo, a technique proposed by {\it F. A. Longstaff} and {\it E. S. Schwartz} [Rev. Financial Stud. 14, 113--147 (2001)] for pricing American options. This method is based on least-squares regressions in which the explanatory variables are certain polynomial functions. We analyze the impact of different basis functions on option prices. Numerical results for American put options show that this approach is quite robust to the choice of basis functions. For more complex derivatives, this choice can slightly affect option prices.

MSC:
91B28Finance etc. (MSC2000)
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