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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Conclusion<br />
◮ Large number of high degree basis functions is detrimental <strong>for</strong><br />
convergence<br />
◮ This holds <strong>for</strong> several models, <strong>for</strong> which <strong>the</strong> convergence<br />
analysis is feasible<br />
◮ If <strong>the</strong> results extend to higher dimensions, LS might be<br />
questionable<br />
◮ N, <strong>the</strong> number of paths, increases slowest if St is Brownian<br />
motion<br />
◮ Reason: Linearization coefficients of <strong>the</strong> Hermite polynomials<br />
grow slowest
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