EuPutBS

EuCallBS


Spot price of the underlying asset (e.g. stock).


Spot

sigma

Strike


Interest rate of the numeraire currency (e.g. EUR).



Pricing plain vanilla American put and call options using Black & Scholes solution.


 Option pricing 

 American put 

 American call 

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.

EuPutBS: Black & Scholes solution for European put and call

Description

Usage

Arguments

Value

See Also

Examples