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.

Author
Mikhail A. Beketov
Date of publication
2013-09-23 23:07:43
Maintainer
Mikhail A. Beketov <mikhail.beketov@gmx.de>
License
GPL-3
Version
1.0

View on CRAN

Man pages

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...

Files in this package

LSMonteCarlo
LSMonteCarlo/NAMESPACE
LSMonteCarlo/R
LSMonteCarlo/R/EuPutBS.R
LSMonteCarlo/R/firstValueRow.R
LSMonteCarlo/R/price.R
LSMonteCarlo/R/plot.PriceSurface.R
LSMonteCarlo/R/summary.AmerPutCV.R
LSMonteCarlo/R/summary.PriceSurface.R
LSMonteCarlo/R/print.AmerPutCV.R
LSMonteCarlo/R/AsianAmerPutLSM.R
LSMonteCarlo/R/print.QuantoAmerPut.R
LSMonteCarlo/R/print.AmerPutAV.R
LSMonteCarlo/R/AmerPutLSM_CV.R
LSMonteCarlo/R/summary.AmerPutAV.R
LSMonteCarlo/R/AmerPutLSMPriceSurf.R
LSMonteCarlo/R/summary.AmerPut.R
LSMonteCarlo/R/AmerPutLSM.R
LSMonteCarlo/R/QuantoAmerPutLSMPriceSurf.R
LSMonteCarlo/R/QuantoAmerPutLSM_AV.R
LSMonteCarlo/R/EuCallBS.R
LSMonteCarlo/R/QuantoAmerPutLSM.R
LSMonteCarlo/R/AmerPutLSM_AV.R
LSMonteCarlo/R/print.AsianAmerPut.R
LSMonteCarlo/R/summary.QuantoAmerPut.R
LSMonteCarlo/R/AsianAmerPutLSMPriceSurf.R
LSMonteCarlo/R/summary.AsianAmerPut.R
LSMonteCarlo/R/summary.QuantoAmerPut_AV.R
LSMonteCarlo/R/print.QuantoAmerPut_AV.R
LSMonteCarlo/R/fastGBM.R
LSMonteCarlo/R/print.AmerPut.R
LSMonteCarlo/MD5
LSMonteCarlo/DESCRIPTION
LSMonteCarlo/man
LSMonteCarlo/man/LSMonteCarlo-package.Rd
LSMonteCarlo/man/firstValueRow.Rd
LSMonteCarlo/man/QuantoAmerPutLSMPriceSurf.Rd
LSMonteCarlo/man/QuantoAmerPutLSM.Rd
LSMonteCarlo/man/EuPutBS.Rd
LSMonteCarlo/man/fastGBM.Rd
LSMonteCarlo/man/price.Rd
LSMonteCarlo/man/AsianAmerPutLSMPriceSurf.Rd
LSMonteCarlo/man/AsianAmerPutLSM.Rd
LSMonteCarlo/man/AmerPutLSM.Rd
LSMonteCarlo/man/QuantoAmerPutLSM_AV.Rd
LSMonteCarlo/man/AmerPutLSM_AV.Rd
LSMonteCarlo/man/AmerPutLSMPriceSurf.Rd
LSMonteCarlo/man/AmerPutLSM_CV.Rd