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: 7 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 7 years ago)
- Default Branch: master
- Last Pushed: 2019-04-05T11:11:24.000Z (over 6 years ago)
- Last Synced: 2024-10-30T09:36:02.611Z (12 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: 101
- Watchers: 4
- Forks: 54
- Open Issues: 0