GitHub - nealchau/simple-lsm: C++ examples for simulation with Brownian bridges (mcbm.C), and basic numerics (bs.C)

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C++ examples for simulation with Brownian bridges (mcbm.C), and basic numerics (bs.C)

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Name		Name	Last commit message	Last commit date
Latest commit History 4 Commits
Makefile		Makefile
README		README
bs.C		bs.C
bs.h		bs.h
mcbm.C		mcbm.C
mcbmc.C		mcbmc.C

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C++ example of simulation and dynamical programming (Least-squares Monte Carlo) for option pricing

C++ examples for simulation with Brownian bridges (mcbm.C), and basic numerics (bs.C)

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