lixuanze / DeepOptimalStop

Neural Net to compute optimal stop for Bermudan option

Geek Repo:Geek Repo

Github PK Tool:Github PK Tool

All the code is inside "deep_optimal_stop.py"
In the "main" function you can change the parameters for the model and you can run the script using the following command:
python deep_optimal_stop.py

A better way to interact with the code is to use a jupyter notebook file: deep_optimal_stop.ipynb

About

Neural Net to compute optimal stop for Bermudan option


Languages

Language:Jupyter Notebook 62.8%Language:Python 37.2%