PrototypeCommon
jerryxyx/MonteCarlo
A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
- Owner
- jerryxyx (personal account)
- Stars
- Stars: 125
- Forks
- Forks: 54
- Language
- Jupyter Notebook
- License
- None
- Created
- 2018
- Topics
- monte-carlohedgeoptimizationvariance-reductionoption-pricingheston-modelcir-modelcontrol-varates
- Tier
- Prototype (100 to 249 ★) What this tier means
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