LSMonteCarlo: American options pricing with Least Squares Monte Carlo method
Version 1.0

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.

Browse man pages Browse package API and functions Browse package files

AuthorMikhail A. Beketov
Date of publication2013-09-23 23:07:43
MaintainerMikhail A. Beketov <mikhail.beketov@gmx.de>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("LSMonteCarlo")

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...

Functions

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

Files

NAMESPACE
R
R/EuPutBS.R
R/firstValueRow.R
R/price.R
R/plot.PriceSurface.R
R/summary.AmerPutCV.R
R/summary.PriceSurface.R
R/print.AmerPutCV.R
R/AsianAmerPutLSM.R
R/print.QuantoAmerPut.R
R/print.AmerPutAV.R
R/AmerPutLSM_CV.R
R/summary.AmerPutAV.R
R/AmerPutLSMPriceSurf.R
R/summary.AmerPut.R
R/AmerPutLSM.R
R/QuantoAmerPutLSMPriceSurf.R
R/QuantoAmerPutLSM_AV.R
R/EuCallBS.R
R/QuantoAmerPutLSM.R
R/AmerPutLSM_AV.R
R/print.AsianAmerPut.R
R/summary.QuantoAmerPut.R
R/AsianAmerPutLSMPriceSurf.R
R/summary.AsianAmerPut.R
R/summary.QuantoAmerPut_AV.R
R/print.QuantoAmerPut_AV.R
R/fastGBM.R
R/print.AmerPut.R
MD5
DESCRIPTION
man
man/LSMonteCarlo-package.Rd
man/firstValueRow.Rd
man/QuantoAmerPutLSMPriceSurf.Rd
man/QuantoAmerPutLSM.Rd
man/EuPutBS.Rd
man/fastGBM.Rd
man/price.Rd
man/AsianAmerPutLSMPriceSurf.Rd
man/AsianAmerPutLSM.Rd
man/AmerPutLSM.Rd
man/QuantoAmerPutLSM_AV.Rd
man/AmerPutLSM_AV.Rd
man/AmerPutLSMPriceSurf.Rd
man/AmerPutLSM_CV.Rd
LSMonteCarlo documentation built on May 29, 2017, 11:08 p.m.