Longstaff Schwartz LSM

QuantLars · July 26th, 2004, 3:35 pm

HiHas anyone implemented Longstaff & Schwartz's 2001 LSM model in c++ or delphi?If you have I would be very pleased to see some code.

Paka · July 27th, 2004, 2:27 am

Qunatlars:If you have the paper in pdf, could you mail me a copy?Paka

QuantLars · July 27th, 2004, 5:45 am

Paka:I don't think I can post copyrighted papers here on Wilmott. Sorry.But you can find the paper here: The Review of Financial Studies, Spring 2001, Vol 14. No. 1. pp. 113-147.If you have access to TD-Net you can obtain it there./Lars

pjotr314 · July 29th, 2004, 8:49 pm

Paka: google gives you the answers you like:www.cmap.polytechnique.fr/~gobet/deap7/american_ls.pdf