Adrian8169 / Heston-model-option-valuation-using-Monte-Carlo-simulation-and-LSM-methodView on GitHub
This is a Python implementation of the Heston model for option pricing using Monte Carlo simulation. The code takes in parameters and generates stock price and volatility paths, calculates the option payoff, and determines the option value using the Longstaff-Schwartz algorithm for American-style options.
☆17Mar 7, 2023Updated 3 years ago
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