Assessing LSMC for the KT General Real Options Pricing Model

The book "Assessing LSMC for the KT General Real Options Pricing Model" by Giuseppe Alesii offers a comprehensive analysis of the applicability of the Least Squares Monte Carlo (LSMC) method to the General Real Options Pricing Model. The study considers six different stochastic processes, including Geometric Brownian Motion (GBM) and other models. The author compares the results of the LSMC method with traditional lattice methods and examines the effects of the number of discretization points, basis functions, and simulated paths on estimation quality. Additionally, the trade-off between speed and accuracy of the LSMC estimates is thoroughly analyzed. The statistical properties of the LSMC methods are also highlighted, making the book a valuable resource for professionals in the field of financial mathematics and economics.