Class LongstaffSchwartzPathPricer<PathType, ValueType>
Longstaff-Schwarz path pricer for early exercise options
References:
Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options
by Simulation: A Simple Least-Squares Approach, The Review of
Financial Studies, Volume 14, No. 1, 113-147
test the correctness of the returned value is tested by
reproducing results available in web/literature
Longstaff-Schwarz path pricer for early exercise options
References:
Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options by Simulation: A Simple Least-Squares Approach, The Review of Financial Studies, Volume 14, No. 1, 113-147
test the correctness of the returned value is tested by reproducing results available in web/literature