Valuing American Options by Simulation: A Simple Least-Squares Approach
提出一种基于最小二乘法的模拟方法，用于估计美式期权的价值，适用于路径依赖和多因素情形，如跳跃扩散过程和20因子利率模型下的美式互换期权定价。
This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable in path-dependent and multifactor situations where traditional finite difference techniques cannot be used. We illustrate this technique with several realistic examples including valuing an option when the underlying asset follows a jump-diffusion process and valuing an American swaption in a 20-factor string model of the term structure.