LSMonteCarlo: American options pricing with Least Squares Monte Carlo method

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.

Install the latest version of this package by entering the following in R:
AuthorMikhail A. Beketov
Date of publication2013-09-23 23:07:43
MaintainerMikhail A. Beketov <>

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AmerPutLSM Man page
AmerPutLSM_AV Man page
AmerPutLSM_CV Man page
AmerPutLSMPriceSurf Man page
AsianAmerPutLSM Man page
AsianAmerPutLSMPriceSurf Man page
EuCallBS Man page
EuPutBS Man page
fastGBM Man page
firstValueRow Man page
LSMonteCarlo Man page
LSMonteCarlo-package Man page
plot.PriceSurface Man page
price Man page
print.AmerPut Man page
print.AmerPutAV Man page
print.AmerPutCV Man page
print.AsianAmerPut Man page
print.QuantoAmerPut Man page
print.QuantoAmerPut_AV Man page
QuantoAmerPutLSM Man page
QuantoAmerPutLSM_AV Man page
QuantoAmerPutLSMPriceSurf Man page
summary.AmerPut Man page
summary.AmerPutAV Man page
summary.AmerPutCV Man page
summary.AsianAmerPut Man page
summary.PriceSurface Man page
summary.QuantoAmerPut Man page
summary.QuantoAmerPut_AV Man page

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