American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
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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.
Cite As
Kienitz Wetterau FinModelling (2026). American Monte Carlo (https://se.mathworks.com/matlabcentral/fileexchange/37620-american-monte-carlo), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (32.4 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
