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Is there free software (preferably in Python) that computes American basket (high-dimensional!) option prices in the Black Scholes model using the Longstaff-Schwartz algorithm (also known as Least Squares Monte Carlo)?

Optimally, I want to be able to control the number of basis functions, the number of Monte Carlo samples and the number of time steps used.

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QuantLib is what you are looking for. It is free/open source library written in C++, it is available in Python as well (via SWIG): https://www.quantlib.org/install/windows-python.shtml

Examples are shipped with QuantLib and among them some show how to price options.

To get a feel for what it's like, you can check this blog post, explaining how to price an American option on a single asset using a binomial tree in Python: http://gouthamanbalaraman.com/blog/american-option-pricing-quantlib-python.html

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  • $\begingroup$ thanks for the suggestion. It works quite nicely, but I have a question on the configuration of the Longstaff-Schwartz algorithm, in case you want to check it out: quant.stackexchange.com/questions/39614/… $\endgroup$
    – Bananach
    May 4, 2018 at 15:38

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