Re: Bermudan LLM

Posted by Kakhkhor Abdijalilov on Aug 23, 2011; 10:37pm
URL: http://quantlib.414.s1.nabble.com/Bermudan-LLM-tp9645p9648.html

Longstaff-Schwartz method for Bermudan LLM requires OLS for every
early exercise opportunity, not just once.
I checked "Numerical recipes", Demel's and Golub's books and all
recommend not to use normal equations to solve OLS. Equity version of
Longstaff-Schwartz in QuantLib uses SVD too.

The cost of SVD scales as SAMPLES*FACTORS^3, but the cost of path
generation scales as SAMPLES*FACTORS^2. SVD doesn't scale well as more
CPU cores are used, but path generation should scale almost perfectly.

Regards,
Kakhkhor Abdijalilov.

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