Code covered by the BSD License
Kienitz Wetterau FinModelling
25 Jul 2012
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
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Illustration of the methods from Chapter 8 of Financial Modelling by Joerg Kienitz and Daniel Wetterau.
We cover Monte Carlo pricing of American and Bermudan style derivatives using Longstaff-Schwartz, Upper Bounds, Broadie and Policy Iteration methods.