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
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pryce-0.3.1.tar.gz
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