Description Usage Arguments Value See Also Examples

Pricing plain vanilla American put and call options using Black & Scholes solution.

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

`sigma` |
Volatility of the underlying asset. |

`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). |

The function returns the price as a single number (class "numeric").

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

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