An Introduction to Least-Squares Monte Carlo Simulation

In this article we explain a recognised technique for sophisticated risk modelling, LSMC. This simulation-based method is used to simplify valuations that require nested simulations to be reliable and accurate. A key aspect of LSMC is the regression function used to reduce the number of inner scenarios, as its composition can affect the performance of the simulation technique.

Part 1 Lsmc

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Part 1 Lsmc

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