Man pages for LSMonteCarlo
American options pricing with Least Squares Monte Carlo method

AmerPutLSMCalculating the price of plain vanilla American put
AmerPutLSM_AVPricing plain vanilla American put with Antithetic Variates
AmerPutLSM_CVPricing plain vanilla American put with Control Variates
AmerPutLSMPriceSurfDeriving a table of American put prices at different...
AsianAmerPutLSMCalculating the price of Asian American put
AsianAmerPutLSMPriceSurfDeriving a table of Asian American put prices at different...
EuPutBSBlack & Scholes solution for European put and call
fastGBMGenerating Geometric Brownian motion
firstValueRowReturning the first >0 value in each row of a matrix
LSMonteCarlo-packageAmerican options pricing with Least Squares Monte Carlo...
priceExtracting price from the pricing functions outputs
QuantoAmerPutLSMCalculating the price of Quanto American put
QuantoAmerPutLSM_AVPricing Quanto American put with Antithetic Variates
QuantoAmerPutLSMPriceSurfDeriving a table of Quanto American put prices at different...
LSMonteCarlo documentation built on May 29, 2017, 11:08 p.m.