The main purpose of this article is to provide insight into how an optimised regression can be performed in a LSMC simulation. We will explain general concepts regarding regression and describe ways to choose an appropriate regression function in LSMC. In addition, we share an algorithm used to optimise the LSMC regression in order to further improve its performance.
Regression Functions in Least-Squares Monte Carlo Simulations
In this article we will introduce an efficient way of estimating and calibrating regression functions in a LSMC environment.