longstaff_schwartz package

Submodules

longstaff_schwartz.algorithm module

longstaff_schwartz.binomial module

longstaff_schwartz.cli module

longstaff_schwartz.regression_basis module

longstaff_schwartz.stochastic_process module

Module contents

A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights and American options.