Valuation of american interest rate options by the least-squares Monte Carlo method

the purpose of this study is to verify the efficiency and the applicability of the least-squares monte carlo method for pricing american interest rate options. results suggest that this technique is apromising alternative to evaluate american-style interest rate options. it provides accurate option price estimates which are very close to results provided by a binomial model. besides, actual implementation can be easily adapted to accept different interest rate models.