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The famous least squares Monte Carlo (LSM) algorithm combines linear least square regression with Monte Carlo simulation to approximately solve problems in stochastic optimal stopping theory.
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Francis. Longstaff and Eduardo. Schwartz · 2001
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Marco Chiani and Davide Dardari · 2002
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Emmanuelle Clément, Damien Lamberton and Philip Protter · 2002
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Lov Grover and Terry Rudolph · 2002
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