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Option pricing

Project description

pryce: A Python toolkit for American option pricing
:Author: Soeren Wolfers <>
:Organization: King Abdullah University of Science and Technology (KAUST)

This package contains implementations of the 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 `` for usage

.. __:

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