The GitHub serves two purposes;
- To keep track of my work
- For the interested reader of my master's thesis to see the source code
Files for pricing:
The code is written in the Python directory and the following files are used:
- European call and put option: ClosedForm directory and the file closedEuro.py
- Exotic European options: ClosedForm directory and the file rainbow2Dim.py
- CRR: Directory BinomialModel and file BinoHull.py
- BEG: Directory BinomialModel and file BEGTwoDim.py
- LSM: Directory DeepStopping and file AmericanPut.py (Note that the LSM is implemented by using luphord GitHub repository https://github.com/luphord/longstaff_schwartz)
- MLP I: Directory DeepStopping and file AmericanPut.py (Note that the MLP is my own build upon the LSM method)
- MLP II: Directory DeepLearning/hirsa19/evaluation and file MLPsIIPricing.py