Quant Interview Questions · 14. novembre 2023
The Longstaff-Schwartz algorithm is key to pricing American options by addressing early exercise using Monte Carlo simulations and regression techniques. It infers exercise boundaries without neural networks or quantum computing, offering a practical solution when analytical methods aren't feasible.
Mathematical Principles and Quantitative Finance · 09. novembre 2023
Richardson extrapolation refines the accuracy of exotic option pricing in financial modeling. It adjusts for errors from numerical methods by using varied step sizes, leveraging the principle that error decreases quadratically with smaller steps, yielding more precise pricing estimates.