摘要翻译：
考虑最小二乘蒙特卡罗(LSM)算法，它是由Longstaff和Schwartz(2001)为美式证券定价而提出的。该算法是通过最小二乘问题将延拓值投影到一定的基函数集上。分析了算法在行权日数增加时的稳定性，并证明了如果股票价格的基本过程是连续的，那么当时间参数取值较小时，回归问题是病态的。
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英文标题：
《On the Stability the Least Squares Monte Carlo》
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作者：
Oleksii Mostovyi
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  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 projection of the value of continuation onto a certain set of basis functions via the least squares problem. We analyze the stability of the algorithm when the number of exercise dates increases and prove that, if the underlying process for the stock price is continuous, then the regression problem is ill-conditioned for small values of the time parameter.
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PDF链接：
https://arxiv.org/pdf/1102.3218