AlbertLin0327 / Least-Square-Monte-Carlo Star 13 Code Issues Pull requests A Program to calculate the price of American put or call option with Least Square Monte Carlo monte-carlo option-pricing financial-analysis mathematical-finance american-options least-squares-monte-carlo lsmc Updated Jun 7, 2023 Python
ngokchaoho / Least-Square-Monte-Carlo Star 7 Code Issues Pull requests Implement either Least Square Monte Carlo (LSMC) method to price American put options lsmc american-put-option Updated Nov 15, 2020 R
PatrickvanEwijk / UpperboundApproachesDuality Star 2 Code Issues Pull requests Comparative Analysis of Dual Algorithms for high-dimensional Stopping Problems american-options extreme-learning-machine fractional-brownian-motion optimal-stopping duality-theory lsmc upperbound Updated Aug 7, 2024 Jupyter Notebook