American Monte Carlo
Updated 25 Jul 2012
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.
Kienitz Wetterau FinModelling (2023). American Monte Carlo (https://www.mathworks.com/matlabcentral/fileexchange/37620-american-monte-carlo), MATLAB Central File Exchange. Retrieved .
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