https://github.com/ashar97/american-option
Pricing American Options using Finite Difference Cryers Problem and Longstaff-Schwartz approach
https://github.com/ashar97/american-option
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Pricing American Options using Finite Difference Cryers Problem and Longstaff-Schwartz approach
- Host: GitHub
- URL: https://github.com/ashar97/american-option
- Owner: AShar97
- Created: 2021-09-28T20:36:01.000Z (almost 5 years ago)
- Default Branch: main
- Last Pushed: 2021-09-28T20:38:22.000Z (almost 5 years ago)
- Last Synced: 2025-10-19T09:36:36.920Z (9 months ago)
- Language: Jupyter Notebook
- Size: 135 KB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# american-option
Pricing American Options using Finite Difference Cryers Problem and Longstaff-Schwartz approach
Reference Paper : https://people.math.ethz.ch/~hjfurrer/teaching/LongstaffSchwartzAmericanOptionsLeastSquareMonteCarlo.pdf