Price Using Monte Carlo Simulation

Price basket, Asian, spread, and vanilla options using Monte Carlo simulation with Longstaff-Schwartz option pricing model

Functions

basketbyls Price basket options using Longstaff-Schwartz model
basketsensbyls Determine price and sensitivities for basket options using Longstaff-Schwartz model
basketstockspec Specify basket stock structure using Longstaff-Schwartz model
asianbyls Price European or American Asian option using Longstaff-Schwartz model
asiansensbyls Calculate European or American Asian option prices and sensitivities using Longstaff-Schwartz model
lookbackbyls Calculate prices of lookback options using Longstaff-Schwartz model
lookbacksensbyls Calculate prices and sensitivities of lookback options using Longstaff-Schwartz model
spreadbyls Price European or American spread options using Monte Carlo simulations
spreadsensbyls Calculate price and sensitivities for European or American spread options using Monte Carlo simulations
optstockbyls Price European, Bermudan, or American vanilla options using Longstaff-Schwartz model
optstocksensbyls Calculate European, Bermudan, or American vanilla option prices and sensitivities using Longstaff-Schwartz model
optpricebysim Price option given simulated underlying values

Examples and How To

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