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American Monte Carlo

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American Monte Carlo

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Algorithms for pricing American Style derivatives with Monte Carlo Simulation

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Description

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.

Required Products MATLAB
MATLAB release MATLAB 7.14 (R2012a)
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14 Feb 2014 Li  
22 Feb 2013 Mark Whirdy  

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