sig_american

Run "Generate Paths and Signatures.ipynb" first to generate paths and signatures

Next run "Asian d1 m10.ipynb" for pricing Bermudan option

Change nbSeg, num_epoch, num_epochExt, num_epochExt1, nTest as desired

python=3.5 tqdm==4.64.1 tensorflow==1.10.0 scipy==1.0.0 numpy==1.14.0 matplotlib==2.1.2

Name		Name	Last commit message	Last commit date
Latest commit History 7 Commits
Asian d1 m10.ipynb		Asian d1 m10.ipynb
Generate Paths and Signatures.ipynb		Generate Paths and Signatures.ipynb
README.md		README.md
models.py		models.py
networks.py		networks.py
train.py		train.py

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