Thursday, January 10

Longstaff-Schwartz and American Monte Carlo

This notebook illustrates Longstaff-Schwartz (AMC) algorithm for pricing options and other derivatives with early-exercise features.

 This work is based on the paper [1].

 The GitHub project also contains unit tests which are based on original numerical examples presented by Longstaff-Schwartz

[1] Valuing American Options by Simulation: A Simple Least-Squares Approach, Francis A. Longstaff, Eduardo S. Schwartz