Price Using Monte Carlo Simulation

Price basket, Asian, spread, and vanilla options using Monte Carlo simulation with Longstaff-Schwartz option pricing model

Use Monte Carlo simulations to model the probability of different outcomes in a process that cannot be easily predicted due to the intervention of random variables. The Longstaff-Schwartz Least Squares approach is used to estimate the expected payoff of the American option type which allows for early exercise.

Functions

expand all

Basket Options

`basketbyls`	Price European or American basket options using Monte Carlo simulations
`basketsensbyls`	Calculate price and sensitivities for European or American basket options using Monte Carlo simulations

Barrier Options

`barrierbyls`	Price European or American barrier options using Monte Carlo simulations
`barriersensbyls`	Calculate price and sensitivities for European or American barrier options using Monte Carlo simulations

Asian Options

`asianbyls`	Price European or American Asian options using Monte Carlo simulations
`asiansensbyls`	Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations

Lookback Options

`lookbackbyls`	Price European or American lookback options using Monte Carlo simulations
`lookbacksensbyls`	Calculate price and sensitivities for European or American lookback options using Monte Carlo simulations

Spread Options

`spreadbyls`	Price European or American spread options using Monte Carlo simulations
`spreadsensbyls`	Calculate price and sensitivities for European or American spread options using Monte Carlo simulations

Vanilla Options

`optstockbyls`	Price European, Bermudan, or American vanilla options using Monte Carlo simulations
`optstocksensbyls`	Calculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations