"The Longstaff-Schwartz algorithm for pricing American options actually works"
Speaker:
Philip Protter, Columbia Business School
Date and Time:
Wednesday, February 27, 2002 - 9:45am to 10:30am
Location:
Fields Institute, Room 230
Abstract:
We present a precise mathematical description of the Longstaff-Schwartz algorithm, breaking it down into two steps and proving the convergence. The second step is a Monte Carlo step, and we obtain the rate of convergence and the asymptotic normalized error. The talk is based on joint work with E. Clement and D. Lamberton.
