Implementation of the Ritchken-Trevor algorithm to price American put options
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Updated
Aug 2, 2017 - Python
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american-put
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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 the control variate technique beyond Monte Carlo simulation*, The North American Journal of Economics and Finance, Volume 62, 2022, Article 101772,
option-pricing black-scholes binomial-tree american-put control-variates american-put-option control-variate
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Updated
Feb 14, 2026 - Jupyter Notebook
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