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.
American and European options pricer web app build with Flask and React
An implementation of the Longstaff-Schwartz algorithm, which we use to price a convertible bond.
Black Scholes and Binomial Models for pricing European Options and Longstaff Schwartz for pricing American Options
Monte Carlo simulation and options pricing for PETR4 using GBM and Longstaff-Schwartz algorithm
A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.
GPU Longstaff-Schwartz Monte Carlo pricer for American options on NSE single stocks, with Rasmussen 2005 out-of-sample bias correction. Dockerized CUDA dev loop + yfinance pipeline + 3D Plotly dashboard.
American option pricing using Longstaff Schwartz Algorithm under the Heston model
American option pricing via Longstaff-Schwartz Monte Carlo under GBM and Heston dynamics
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