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Price Using Monte Carlo Simulation

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

The Longstaff-Schwartz Least Squares approach is used to estimate the expected payoff of the American option type which allows for early exercise.

Functions

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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
barrierbylsPrice European or American barrier options using Monte Carlo simulations
barriersensbylsCalculate price and sensitivities for European or American barrier options using Monte Carlo simulations
dblbarrierbyblsPrice European double barrier options using Black-Scholes option pricing model
dblbarriersensbyblsCalculate prices and sensitivities for European double barrier options using Black-Scholes option pricing model
asianbyls Price European or American Asian options using Monte Carlo simulations
asiansensbyls Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations
lookbackbylsPrice European or American lookback options using Monte Carlo simulations
lookbacksensbylsCalculate price and sensitivities for European or American lookback options using Monte Carlo simulations
optstockbyls Price European, Bermudan, or American vanilla options using Monte Carlo simulations
optstocksensbylsCalculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations
optpricebysimPrice option given simulated underlying values

Examples and How To

Concepts