Price Using Monte Carlo Simulation
The Longstaff-Schwartz Least Squares approach is used to estimate the expected payoff of the American option type which allows for early exercise.
Double Barrier Options
Examples and How To
This example shows how to price and calculate sensitivities for European and American spread options using various techniques.
This example shows different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.
This example shows how to price a swing option using a Monte Carlo simulation and the Longstaff-Schwartz method.
This example shows how to simulate electricity prices using a mean-reverting model with seasonality and a jump component.
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
Energy derivative functions supported by Financial Instruments Toolbox™.