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American Monte Carlo

Algorithms for pricing American Style derivatives with Monte Carlo Simulation

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Updated 25 Jul 2012

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Illustration of the methods from Chapter 8 of Financial Modelling by Joerg Kienitz and Daniel Wetterau.

We cover Monte Carlo pricing of American and Bermudan style derivatives using Longstaff-Schwartz, Upper Bounds, Broadie and Policy Iteration methods.

Comments and Ratings (2)

Li

Mark Whirdy

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
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