likelihood-ratio-methods

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hongwai1920 / Implement-Option-Pricing-Model-using-Python

Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estimate and likelihood ratio methods. Lastly, implemented binomial tree option pricing to price American option.

python3 monte-carlo-simulation option-pricing quantitative-finance black-scholes binomial-trees likelihood-ratio-methods

Updated Aug 18, 2020
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