GitHub - cornerwings/optionpricing: Option pricing using Monte Carlo simulations

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Name		Name	Last commit message	Last commit date
Latest commit History 18 Commits
cuda		cuda
README		README
lapacktest.cc		lapacktest.cc
makefile		makefile
montecarlo.c		montecarlo.c
montecarlo.cc		montecarlo.cc
runmat.m		runmat.m
svdtest.cc		svdtest.cc

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README

Option using Monte Carlo pricing on GPU/CPU

--> European Options
--> American Options

Status:

Implementing Longstaff-Schwartz algorithm on CPU 
(reference MATLAB code is available, original author: Markus Leippold)