American-Option-Pricing

This repo is dedicated to share the codes used to produce numrical results in the paper: Simultaneous upper and lower bounds of American option prices with hedging via neural networks.

Reference

Guo, I., Langrené, N., & Wu, J. (2023). Simultaneous upper and lower bounds of American option prices with hedging via neural networks. arXiv preprint arXiv:2302.12439.