QuoteOriginally posted by: pcaspersYes, thanks a lot again. I can rerun with more paths, Sobol sequences + Brownian bridges, a richer basis, but as you say, it won't be very insightful. You're very welcome. It was enjoyable and good practice to try and solve a problem together here with different people contributing, looking at it from different angles, using different methods, as Paul also said.QuoteOriginally posted by: pcaspersConcerning the regression I am even thinking if it might be useful to have two regions with a separate calibration. But for the time being the global one taking all paths looks good enough.
Yes, could be interesting as well, though you're right that it may not be necessary. If you do try it though, you have my PDE results (which are for the American/Bermudan generated put like in your case) which should be "exact" to all digits shown, so you could check any relative accuracy gain of the two-region regression, at least for the equity case.