השוואת שיטות

	שיטת Longstaff-Schwartz	תנודתיות מקומית (Dupire)
תחום	מימון כמותי	מימון כמותי
משפחה	Machine learning	Regression model
שנת המקור	2001	1994
הוגה השיטה	Francis A. Longstaff and Eduardo S. Schwartz	Bruno Dupire
סוג	Valuation Algorithm	Equity/FX Model
מקור מכונן	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.	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.
כינויים	LSM, Least-Squares MC, Optimal Stopping	Deterministic Volatility Function, DVF
קשורות	4	4
תקציר	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.	Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied volatility smile and is implemented via finite difference methods for European and American option pricing.