Description Usage Arguments Value Author(s) References See Also Examples

View source: R/AmerPutLSM_AV.R

The function calculates the price of a plain vanilla American put with Least Squares Monte Carlo method with Antithetic Variates (Glasserman, 2004). The regression model included in the algorithm is quadratic polynomial (Longstaff & Schwartz, 2000).

1 2 3 4 5 6 7 |

`Spot` |
Spot price of the underlying asset (e.g. stock). |

`sigma` |
Volatility of the underlying asset. |

`n` |
Number of paths simulated. |

`m` |
Number of time steps in the simulation. |

`Strike` |
Strike price of the option. |

`r` |
Interest rate of the numeraire currency (e.g. EUR). |

`dr` |
Dividend rate of the underlying asset. |

`mT` |
Maturity time (years). |

`x` |
An object returned by the functions |

`object` |
An object returned by the function |

`...` |
Not used. |

The function returns an object of the class AmerPutAV that is a list comprising the price calculated and the entry parameters. Class-specific `print`

function gives the option type information and the price. The price as a single number can be derived using the `price`

function. An overview of the entire object can be seen using the `summary`

function.

Mikhail A. Beketov

Glasserman, P. 2004. Monte Carlo Methods in Financial Engineering. Springer.

Longstaff, F.A., and E.S. Schwartz. 2000. Valuing american option by simulation: A simple least-squared approach. The Review of Financial Studies. 14:113-147.

Functions: `price`

,
`AmerPutLSM`

,
`AmerPutLSM_CV`

,
`AsianAmerPutLSM`

, and
`QuantoAmerPutLSM`

.

1 2 3 4 5 6 | ```
AmerPutLSM_AV(n=500, m=50)
put<-AmerPutLSM_AV(Spot=14.2, Strike=16.5, n=200, m=50)
put
summary(put)
price(put)
put$price
``` |

LSMonteCarlo documentation built on May 29, 2017, 11:08 p.m.

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