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
![](https://raw.githubusercontent.com/omartinsky/QuantAndFinancial/master/img/open_jupyter_notebook.png)
[1] Valuing American Options by Simulation: A Simple Least-Squares Approach, Francis A. Longstaff, Eduardo S. Schwartz
No comments:
Post a Comment