Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.
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Aug 30, 2020 - Python
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american-option
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MA473: Computational Finance
finance partial-differential-equations black-scholes finite-element-method finite-difference-method american-option options-pricing
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Nov 26, 2021 - MATLAB
A Python library for pricing options under various risk-neutral density assumptions, computing option-implied densities, and extracting model parameters from market data.
option-pricing asset-pricing black-scholes implied-volatility american-option risk-neutral-probability state-price-density risk-neutral edgeworth-expansion mixtrure-of-lognormal density-extraction
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May 30, 2025 - Python
Final exam for Dynamic programming at UCPH. Implementation and analysis of Longstaff–Schwartz Monte Carlo (LSM) for American option pricing including polynomial basis comparison, jump diffusion, quasi-Monte Carlo, and multi-asset extensions with neural network approximation.
neural-network monte-carlo university-project quantitative-finance asset-pricing lsm american-option
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Oct 20, 2025 - Jupyter Notebook
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