longstaff-schwartz

European/American/Asian option pricing module. BSM/Monte Carlo/Binomial

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

Monte Carlo option pricing engine implementing the Longstaff–Schwartz algorithm, variance reduction (antithetic variates), and finite-difference Greeks, with interactive visualization.

An implementation of the Longstaff-Schwartz algorithm, which we use to price a convertible bond.

American and European options pricer web app build with Flask and React

A Python library for options pricing and Greeks computation.

GPU pricing of a cancellable swap, three ways: CUDA, ISO C++ stdpar, and JAX/XLA — Mark Joshi's kooderive modernized, rewritten twice, and cross-validated (LIBOR Market Model, Longstaff-Schwartz, AAD Greeks)

Black Scholes and Binomial Models for pricing European Options and Longstaff Schwartz for pricing American Options

American & Bermudan options by Longstaff-Schwartz least-squares Monte Carlo, from first principles in pure Python + NumPy/SciPy — identity-tested, adversarially verified before a line of code.

Sixteen option pricers over six stochastic models including Heston, Bates, SABR and rough Bergomi, spanning analytic, lattice, finite-difference, COS Fourier and Monte Carlo methods.

American option pricing via Longstaff-Schwartz Monte Carlo, with optimal exercise boundary and parameter sensitivity analysis.

European and American option pricing in Python using Black-Scholes and Longstaff-Schwartz Monte Carlo.

A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.

Monte Carlo simulation and options pricing for PETR4 using GBM and Longstaff-Schwartz algorithm

Código de apoyo del libro El Precio de la Incertidumbre: valuación avanzada de opciones con Python (Liber Jaime Merlos). Black-Scholes, árboles binomiales, griegas, Heston, Monte Carlo, Longstaff-Schwartz, exóticas, opciones reales y dashboards.

Monte Carlo option pricer in Python: European, Asian and American (Longstaff-Schwartz) options, variance reduction, Greeks, and live implied-volatility smiles from Yahoo Finance.

Research implementation of Longstaff-Schwartz Monte Carlo for path-dependent American options with polynomial, ridge, and signature-based continuation features.

Monte Carlo options pricing with GBM, Black-Scholes, and Longstaff-Schwartz Monte Carlo.

Monte Carlo derivatives pricing & hedging engine in Python: GBM, Heston, Merton; exotic and American options; variance reduction, QMC, Greeks, delta hedging, calibration; every result validated against an independent reference.