A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights and American options.
Project description
Longstaff-Schwartz Algorithm
A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights and American options.
Documentation: https://longstaff-schwartz.readthedocs.io
Free software: MIT license
Talks
PyData Meetup 2019-09-18: Slides, Jupyter Notebook
PyConDE 2019-10-10: Slides, Jupyter Notebook
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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