American Monte Carlo

版本 1.0.0.0 (32.4 KB) 作者: Kienitz Wetterau FinModelling
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
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更新时间 2012/7/25

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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.

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Kienitz Wetterau FinModelling (2024). American Monte Carlo (https://www.mathworks.com/matlabcentral/fileexchange/37620-american-monte-carlo), MATLAB Central File Exchange. 检索来源 .

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1.0.0.0