Are there any books that show how to price exotic options in Python with monte carlo methods? I am aware of two books by Yves Hilpisch, but in his books there are only simple options. I am struggling now with simulating multimensional correlated brownian motion. Also I wanted to try some new basis functions for regression (for value function approximation) created on my own, but I dont know how to implement this

Or maybe you could link some open github profiles with Python codes for exotic options?



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.