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20112026
most citedOptimal investment with intermediate consumption under no unbounded profit with bounded risk

32 citations · 44 across the 14 of their papers we have counts for

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q-fin.CP2011

On the Stability the Least Squares Monte Carlo

Oleksii Mostovyi

Consider Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the project…