Sammenlign metoder

	Longstaff-Schwartz-metoden	Bates-modellen
Fagområde	Kvantitativ finans	Kvantitativ finans
Familie	Machine learning	Regression model
Oprindelsesår	2001	1996
Ophavsperson	Francis A. Longstaff and Eduardo S. Schwartz	David S. Bates
Type	Valuation Algorithm	Equity/FX Model
Oprindelig kilde	Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: A simple least-squares approach. Review of Financial Studies, 14(1), 113-147.	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.
Aliasser	LSM, Least-Squares MC, Optimal Stopping	SVJ Model, Jump Diffusion
Relaterede	4	4
Resumé	The Longstaff-Schwartz method (2001) is a Monte Carlo algorithm for pricing American options and Bermudan swaptions by approximating the optimal exercise boundary via least-squares regression. It has become the industry standard for pricing path-dependent derivatives where analytical solutions do not exist.	The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency option markets. It extends the Heston model by adding a Poisson jump component to returns, making it suitable for pricing options when sudden price moves are expected.