American options pricing with Least Squares Monte Carlo method
Calculating the price of plain vanilla American put
Pricing plain vanilla American put with Antithetic Variates
Pricing plain vanilla American put with Control Variates
Deriving a table of American put prices at different volatilities and ...
Calculating the price of Asian American put
Deriving a table of Asian American put prices at different volatilitie...
Black & Scholes solution for European put and call
Generating Geometric Brownian motion
Returning the first >0 value in each row of a matrix
American options pricing with Least Squares Monte Carlo method
Extracting price from the pricing functions outputs
Calculating the price of Quanto American put
Pricing Quanto American put with Antithetic Variates
Deriving a table of Quanto American put prices at different volatiliti...
The package compiles functions for calculating prices of American put options with Least Squares Monte Carlo method. The option types are plain vanilla American put, Asian American put, and Quanto American put. The pricing algorithms include variance reduction techniques such as Antithetic Variates and Control Variates. Additional functions are given to derive "price surfaces" at different volatilities and strikes, create 3-D plots, quickly generate Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution.