- 24 - Longstaff-Schwarz algorithm Lets consider now a generic bermudan option Heres the Longstaff-Schwarz algoritm 1.Generate the MC trajectories of the underlying up to maturity 2.Compute the payoff at maturity and discount it to the previous exercise date 3.Regress the last column as a function of the previous one, compute the continuation value for each path and calculate what you would get from exercise.
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