This is a repository for pricing different options using simulation-based methods along with machine learning algorithms. PDE methods and their numerical approaches suffer from the curse of dimensionality. Since most quantitative finance problems are high-dimensional simulation is used.
Four different cases are studied and it is advised to go through them in order. We look at the following problems :
- Pricing American Options using Longstaff-Schwartz Algorithm and Tsitsiklis-Van Roy Algorithm
- We also look at Duality in case of these options and how to get upper-bound from the Dual problem
- Using BSDEs how we can price reinsurance products assuming uncertain mortality
- Finally we also look at SLV (Stochastic Local Volatility) Model and how to calibrate smile using them