RAWBFST, a least-squares Monte Carlo method with brute-force SVD truncation, provably approximates conditional expectations with derivative weights at any prescribed polynomial convergence rate under sufficient smoothness.
(1995) Pricing and hedging derivative securities in markets with uncertain volatilities
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`Regression Anytime' with Brute-Force SVD Truncation
RAWBFST, a least-squares Monte Carlo method with brute-force SVD truncation, provably approximates conditional expectations with derivative weights at any prescribed polynomial convergence rate under sufficient smoothness.