# Binomial Valuation # # Valuation of American Options # with the Cox-Ross-Rubinstein Model # Primal Algorithm # Case 1: American Put Option (APO) # Case 2: Short Condor Spread (SCS) # import math import numpy as np # General Parameters and Option Values def set_parameters(otype, M): ”’ Sets parameters depending on valuation case. Parameters […]

# LSM Algorithm for American Put in BCC97 # Delta Hedging an American Put Option in BCC97 # via Least Squares Monte Carlo (Multiple Replications) # import sys sys.path.extend([’09_gmm’, ’11_cal’, ’12_val’]) import math import numpy as np import warnings warnings.simplefilter(‘ignore’) import matplotlib as mpl mpl.rcParams[‘font.family’] = ‘serif’ import matplotlib.pyplot as plt from H93_calibration import S0, […]