https://github.com/jerryxyx/MonteCarlo

A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
https://github.com/jerryxyx/MonteCarlo

cir-model control-varates hedge heston-model monte-carlo optimization option-pricing variance-reduction

Last synced: about 2 months ago
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A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

• Host: GitHub
• URL: https://github.com/jerryxyx/MonteCarlo
• Owner: jerryxyx
• Created: 2018-06-20T01:27:17.000Z (over 6 years ago)
• Default Branch: master
• Last Pushed: 2019-04-05T11:11:24.000Z (over 5 years ago)
• Last Synced: 2024-06-02T03:32:12.226Z (4 months ago)
• Topics: cir-model, control-varates, hedge, heston-model, monte-carlo, optimization, option-pricing, variance-reduction
• Language: Jupyter Notebook
• Homepage:
• Size: 2.11 MB
• Stars: 97
• Watchers: 4
• Forks: 53
• Open Issues: 0

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