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Should I stay or should I go? Optimal exercise decisions...


Speaker: Benedikt Rudolph

Track:PyData This talk presents a Python implementation of the Longstaff-Schwartz algorithm for financial exercise option valuation. The technical problems of optimal exercise decisions and exercise option valuation are demonstrated using code examples.

Recorded at the PyConDE & PyData Berlin 2019 conference.

More details at the conference page: Twitter: Twitter:


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