American Monte Carlo

Version 1.0.0.0 (32.4 KB) by Kienitz Wetterau FinModelling
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
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Updated 25 Jul 2012

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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.

Cite As

Kienitz Wetterau FinModelling (2024). American Monte Carlo (https://www.mathworks.com/matlabcentral/fileexchange/37620-american-monte-carlo), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
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Version Published Release Notes
1.0.0.0