Longstaff Schwartz American Option Price Analysis

versión 1.0.0.0 (546 KB) por Ahmos Sansom
Simple implementation of the Longstaff Schwarts Least Square Regression approach

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Actualizada 12 Oct 2017

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Simple implementation of the Longstaff Schwartz Least Square Regression approach and highlights how increasing the polynomial basis functions improves the convergence as expected.
Note that the run time will increase when number of sims increases.

Run the AmericanOptionExample.m file and probably best to run the first section to check run time.

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Ahmos Sansom (2022). Longstaff Schwartz American Option Price Analysis (https://www.mathworks.com/matlabcentral/fileexchange/64716-longstaff-schwartz-american-option-price-analysis), MATLAB Central File Exchange. Recuperado .

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Se creó con R2017a
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