Calculate price and sensitivities for European or American spread options using Monte Carlo simulations
returns the price of a European or American call or put spread option using Monte Carlo
simulations.PriceSens
= spreadsensbyls(RateSpec
,StockSpec1
,StockSpec2
,Settle
,Maturity
,OptSpec
,Strike
,Corr
)
For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
adds optional name-value pair arguments.PriceSens
= spreadsensbyls(___,Name,Value
)
[
returns the PriceSens
,Paths
,Times
,Z
]
= spreadsensbyls(___,Name,Value
)PriceSens
, Paths
,
Times
, and Z
and adds optional name-value pair
arguments.
[1] Carmona, R., Durrleman, V. “Pricing and Hedging Spread Options.” SIAM Review. Vol. 45, No. 4, pp. 627–685, Society for Industrial and Applied Mathematics, 2003.