American Option Pricing via Longstaff and Schwartz (2001)

import numpy as np
import matplotlib.pyplot as plt
import numpy.random as npr

def gen_sn(M, I,  anti_paths=True, mo_match=True):
    if anti_paths is True:
        sn = npr.standard_normal((M+1, I/2))
        sn = np.concatenate((sn,-sn), axis=1)
    else:
        sn = npr.standard_normal((M+1, I))
    
    if mo_match is True:
        sn = (sn-sn.mean())/sn.std()
    
    return sn

def gbm_mcs_amer(K, option='C'):
    # set model paramters
    S0 = 100    # initial stock level
    T = 1.0     # time to maturity
    r = 0.05    # risk free rate
    vol = 0.20  # volatility 
    M = 1000    # time stpes
    
    dt = T/M
    df = np.exp(-r*dt)
    
    # simulation of stock levels
    S = np.zeros((M+1, I))
    S[0] = S0
    rn = gen_sn(M, I)
    
    for t in range(1, M+1):
        S[t] = S[t-1]*np.exp((r-0.5*vol**2)*dt+vol*np.sqrt(dt)*rn[t])