In a recent paper, Longstaff and Schwartz (2001) suggest a method to American option
valuation based on simulation. The method is termed the Least Squares Monte Carlo (LSM) …

A detailed analysis of the Least Squares Monte-Carlo (LSM) approach to American option
valuation suggested in Longstaff and Schwartz (2001) is performed. We compare the …

In this paper we propose a feasible way to price American options in a model with time-varying
volatility and conditional skewness and leptokurtosis, using GARCH processes and the …

… values of ε t 2 are set equal to their unconditional expectation and (1 − L) d is truncated. …
foundation for the use of the method in derivatives research is provided in Stentoft (2004b). …

This paper proposes a unified framework for measuring and managing longevity risk.
Specifically, we develop a flexible framework for valuing survivor derivatives like forwards, and …

This paper introduces a class of conditional GARCH models that offers significantly added
flexibility to accommodate empirically relevant features of financial asset returns while …

… =−1, and annual frequencies ω ={π/2, 3π/2} corresponding to L =±i. The standard … L = 1,
and much of this work has now been generalized to include the seasonal cases L =−1 and/or L =…

… We work with the same set of artificial options that Stentoft (2004a) used to examine the
estimated approximate stopping time algorithm of Longstaff and Schwartz (2001). Thus, in what …

… Recall that we assumed static bounds L min ≤ L t ≤ L max … L max ; the idea is the same
for L min . We implement a supplementary bound L max + beyond L max , such that L max ≤ L …

In this paper we consider option pricing using multivariate models for asset returns. Specifically,
we demonstrate the existence of an equivalent martingale measure, we characterize the …