File Exchange

image thumbnail

American Monte Carlo

Algorithms for pricing American Style derivatives with Monte Carlo Simulation


Updated 25 Jul 2012

View License

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.

Cite As

Kienitz Wetterau FinModelling (2020). American Monte Carlo (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (2)


Mark Whirdy

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux