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An implementation of the Longstaff-Schwartz algorithm, which we use to price a convertible bond.

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Name		Name	Last commit message	Last commit date
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Convertible Bond Pricing.pdf		Convertible Bond Pricing.pdf
ITM ATM OTM.png		ITM ATM OTM.png
LS Convertible Bond Pricer.py		LS Convertible Bond Pricer.py
Lagfit.png		Lagfit.png
One path.png		One path.png
README.md		README.md
Underlying paths.png		Underlying paths.png

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LS-Convertible-Bond-Pricer

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An implementation of the Longstaff-Schwartz algorithm, which we use to price a convertible bond.

derivative-pricing longstaff-schwartz convertible-bond

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