LSMonteCarlo (version 1.0)

American options pricing with Least Squares Monte Carlo method

Description

The package compiles functions for calculating prices of American put options with Least Squares Monte Carlo method. The option types are plain vanilla American put, Asian American put, and Quanto American put. The pricing algorithms include variance reduction techniques such as Antithetic Variates and Control Variates. Additional functions are given to derive "price surfaces" at different volatilities and strikes, create 3-D plots, quickly generate Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution.

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Install

install.packages('LSMonteCarlo')

Monthly Downloads

321

Version

1.0

License

GPL-3

Maintainer

Last Published

September 23rd, 2013

Functions in LSMonteCarlo (1.0)