put.payoff: Arithmetic basket Put for d-dim x @title American Put payoff

In mludkov/mlOSP: Machine Learning and Regression Monte Carlo Algorithms for Optimal Stopping

Arithmetic basket Put for d-dim x @title American Put payoff

Description

Arithmetic basket Put for d-dim x @title American Put payoff

Usage

put.payoff(x, model)

Arguments

x	is a matrix of asset prices of dimension N * model$dim
model	list containing model params. Uses model$K as the Put strike.

Details

in more than 1D, the prices are averaged and maxed with zero.

mludkov/mlOSP documentation built on April 29, 2023, 7:56 p.m.