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Option pricing

Project description

Soeren Wolfers (soeren.wolfers@gmail.com)

This package contains implementations of the Exercise Rate Optimization algorithm presented in

Bayer C., Tempone R., Wolfers S. (2019). Pricing American Options by Exercise Rate Optimization.

and of the Longstaff–Schwartz algorithm.

Install with pip install pryce

See examples.py for usage

Project details


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