Least Squares Monte Carlo
Also called: Longstaff-Schwartz, LSM, American Monte Carlo
Least squares Monte Carlo prices early-exercise options by simulating paths forward, then regressing future payoffs on current state to estimate the continuation value at each step. It solved the long-standing problem that simulation runs forward while exercise decisions require working backward. The estimate is biased by the choice of regression basis functions, so production implementations test convergence against a lattice wherever one exists.
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