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.
|Author||Mikhail A. Beketov|
|Date of publication||2013-09-23 23:07:43|
|Maintainer||Mikhail A. Beketov <firstname.lastname@example.org>|
AmerPutLSM: Calculating the price of plain vanilla American put
AmerPutLSM_AV: Pricing plain vanilla American put with Antithetic Variates
AmerPutLSM_CV: Pricing plain vanilla American put with Control Variates
AmerPutLSMPriceSurf: Deriving a table of American put prices at different...
AsianAmerPutLSM: Calculating the price of Asian American put
AsianAmerPutLSMPriceSurf: Deriving a table of Asian American put prices at different...
EuPutBS: Black & Scholes solution for European put and call
fastGBM: Generating Geometric Brownian motion
firstValueRow: Returning the first >0 value in each row of a matrix
LSMonteCarlo-package: American options pricing with Least Squares Monte Carlo...
price: Extracting price from the pricing functions outputs
QuantoAmerPutLSM: Calculating the price of Quanto American put
QuantoAmerPutLSM_AV: Pricing Quanto American put with Antithetic Variates
QuantoAmerPutLSMPriceSurf: Deriving a table of Quanto American put prices at different...