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Feature/solver mc #34

Merged
merged 4 commits into from
Aug 16, 2024
Merged

Feature/solver mc #34

merged 4 commits into from
Aug 16, 2024

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anthonymakarewicz
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Added Brownian bridge to the pricing of American Options

…cal prices, it comes from filtering only in the money prices when applying the continuation value instead of applying the continuation value for all the paths by applying the basis fucntion to all the paths here const Eigen::MatrixXd allPathsBases = basisFunctionStrategy_->generate(paths.col(step));
@anthonymakarewicz anthonymakarewicz merged commit 2fc377a into dev Aug 16, 2024
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@anthonymakarewicz anthonymakarewicz deleted the feature/solver_MC branch August 16, 2024 08:39
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