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  1. Policy-Iteration-Algorithm-for-Mean-Variance-Asset-Allocation Policy-Iteration-Algorithm-for-Mean-Variance-Asset-Allocation Public

    This project presents an approach for implementing a policy iteration algorithm to solve the Hamilton–Jacobi–Bellman equation arising from the optimal mean–variance asset allocation problem for def…

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  2. Control-Variates-enhanced-technique-for-efficient-American-Put-pricing Control-Variates-enhanced-technique-for-efficient-American-Put-pricing Public

    This project provide a practical Python implementation of the CV enhanced CRR binomial tree pricing algorithm proposed on the publication C Chiu, T Dai, Y Lyuu, L Liu, Y Chen, *Option pricing with…

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