rlsm: R package for least squares Monte Carlo. This short paper briefly describes the implementation of the least squares Monte Carlo method in the rlsm package. This package provides users with an easy manner to experiment with the large amount of R regression tools on any regression basis and reward functions. This package also computes lower and upper bounds for the true value function via duality methods.
Keywords for this software
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Mike Ludkovski: mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms (2020) arXiv
- Jeremy Yee: rlsm: R package for least squares Monte Carlo (2018) arXiv