This is repository to gather and share hands on example of Sequential Decision Analytics with Python.

This is a collaborative endeavor of DDA research group at University of Stavnger, led by Professor Reidar Brumer Bratvold.

1) A simple Example of Sequential Decision Making Link to Codes

This is simple example of developing two projects, A and B and we evaluate four different alternatives. 1) Doing only Project A, 2) Doing A and B simultaneously, 3) Doing A and B Sequentially 4) Do Nothing.

As we can see, the alternative 3 has highest expected value, as it take advantage of learning and flexibility embedded into sequential decision making.

2) Least Square Monte Carlo for Option Pricing Link to Codes

This code will implement the Least-Squares Monte Carlo for valuing American Option.

The code will replicate the Table1 of the Longstaff and Schwartz (2001) where the underlying price is GBM model.