I have computed a lower bound for an american option through longstaff and schwartz's algorithm. Now I have to compute the upper bound as andersen and broadie does in their article linked. Can anybody help me with a small numerical example? I only have the procedure from the article, which is hard to understand.


there is a C++ implemented version in the gold part of the Kooderive open source project.

  • $\begingroup$ Link to GitHub? $\endgroup$
    – SmallChess
    Apr 13 '16 at 16:22
  • $\begingroup$ googling kooderive ought to do. Kooderive.sourceforge.net $\endgroup$
    – Mark Joshi
    Apr 13 '16 at 23:47
  • 1
    $\begingroup$ Go to sourceforge.net/projects/kooderive . Do "Browse all files". You will find Andersen_Broadie_gold.cpp in the gold subdirectory of the latest release $\endgroup$
    – noob2
    May 8 '17 at 14:01

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