Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for ...
Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for ...
Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for ...
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Martingale Properties<br />
◮ Charlier, Laguerre, Meixner, Meixner-Pollaczek polynomials<br />
E[Ck(Nt, t) | Ns] =<br />
E[L (t−1)<br />
k<br />
<br />
s<br />
k Ck(Ns, s),<br />
t<br />
(Gt) | Gs] = L (s−1)<br />
k (Gs),<br />
E[Mk(Pt; t, q) | Ps] = (s)k<br />
Mk(Ps; s, q),<br />
(t)k<br />
E[Pk(Ht; t, ζ) | Hs] = Pk(Hs; s, ζ),<br />
◮ Connect moments at different exercise times, useful in <strong>the</strong><br />
analysis
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