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least-squares-monte-carlo

Here are 4 public repositories matching this topic...

AlbertLin0327 / Least-Square-Monte-Carlo

A Program to calculate the price of American put or call option with Least Square Monte Carlo

monte-carlo option-pricing financial-analysis mathematical-finance american-options least-squares-monte-carlo lsmc

Updated Jun 7, 2023
Python

Idriss-Afra / American-Options-Pricing-Analytics

This project aims to price American options using the Binomial model, the Barone-Adesi & Whaley approximation, and the Least-Squares MC method.

python jupyter-notebook derivatives monte-carlo-simulation numerical-methods american-options variance-reduction black-scholes least-square-regression binomial-tree derivatives-pricing control-variates options-pricing longstaff-schwartz least-squares-monte-carlo options-calculator quant-finance barone-adesi-whaley

Updated Mar 31, 2026
Jupyter Notebook

jaysc96 / derivative-pricing

A website for pricing options using black scholes model and different monte carlo methods

python3 monte-carlo-simulation derivatives-pricing finite-difference-method options-pricing black-scholes-merton least-squares-monte-carlo

Updated Sep 23, 2024
HTML

codegithubka / american-option-pricing

American option pricing via Longstaff-Schwartz Monte Carlo under GBM and Heston dynamics

option-pricing american-options crank-nicolson longstaff-schwartz least-squares-monte-carlo

Updated Apr 2, 2026
Python

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