<t>Hello,There seems to be an issue with discounting.The line of code almost at the end: discValue = discValue + CashFlow(i, j)*exp(-0.06*j);should include the time spacing parameter dt discValue = discValue + CashFlow(i, j)*exp(-0.06*j*dt);Below a simple implementation of LSM algo in Python.Yves </t>

Maybe you should take a look at the paper Tikhonov Regularization. You can find a Python script where I use this approach for calibration of a Jump Diffusion model under Python Scripts (site in German, but scripts are documented in English).

The brief presentation below illustrates the most simple (but only rough) approach to estimating Greeks for basket options by Mont Carlo. It is based on our valuation suite DEXISION and uses a rather stylized example.Greeks for Baskets with DEXISION

<t>Hi Manustone,for a somewhat more complex, but similar, simulation procedure (Stochastic Volatility + Stochastic Short Rates (CIR)) you can have a look at the paper:Fast Monte Carlo Valuation of American Options under Stochastic Volatility and Interest Rates (Paper "Fast Monte Carlo Valuation").He...