Price European, Bermudan, or American vanilla options using Monte Carlo simulations
returns vanilla option prices using the Longstaff-Schwartz model.
Price
= optstockbyls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
)optstockbyls
computes prices of European, Bermudan, and American
vanilla options.
For American and Bermudan options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
adds
optional name-value pair arguments.Price
= optstockbyls(___,Name,Value
)