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A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights and American options.

Project description

Longstaff-Schwartz Algorithm

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A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights and American options.

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Credits

This package was created with Cookiecutter and the audreyr/cookiecutter-pypackage project template.

History

0.1.0 (2019-08-05)

  • First release on PyPI.

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