I am looking for efficient numerical approaches for pricing American options when two or more sources of noise are involved (the simplest case coming to mind would be the Heston Model) Eventhough I ...
I am trying to estimate the early exercise boundary for an American put option. I can find the put value through the Longstaff-Schwartz LSM method. How do I obtain the early exercise boundary within ...
I'm working on an implementation in R of Longstaff & Schwartz method from the this 2001 article. I've managed to build code that replicates their prices in table 1 (p. 127), but only for the ones ...