Qu'est-ce que « Longstaff–Schwartz method » ?

The Longstaff–Schwartz method prices a Bermudan option by simulation: working backwards over the exercise dates, it regresses the discounted cash flows that each path realises from the next date on, against a set of basis functions of the state, using the paths that are in the money, and exercises where the exercise value exceeds the fitted continuation value; the policy is then applied to independent paths to give a lower bound.