LSMonteCarlo-package |
American options pricing with Least Squares Monte Carlo method |
AmerPutLSM |
Calculating the price of plain vanilla American put |
AmerPutLSMPriceSurf |
Deriving a table of American put prices at different volatilities and strikes |
AmerPutLSM_AV |
Pricing plain vanilla American put with Antithetic Variates |
AmerPutLSM_CV |
Pricing plain vanilla American put with Control Variates |
AsianAmerPutLSM |
Calculating the price of Asian American put |
AsianAmerPutLSMPriceSurf |
Deriving a table of Asian American put prices at different volatilities and strikes |
EuCallBS |
Black & Scholes solution for European put and call |
EuPutBS |
Black & Scholes solution for European put and call |
fastGBM |
Generating Geometric Brownian motion |
firstValueRow |
Returning the first >0 value in each row of a matrix |
LSMonteCarlo |
American options pricing with Least Squares Monte Carlo method |
plot.PriceSurface |
Deriving a table of American put prices at different volatilities and strikes |
price |
Extracting price from the pricing functions outputs |
print.AmerPut |
Calculating the price of plain vanilla American put |
print.AmerPutAV |
Pricing plain vanilla American put with Antithetic Variates |
print.AmerPutCV |
Pricing plain vanilla American put with Control Variates |
print.AsianAmerPut |
Calculating the price of Asian American put |
print.QuantoAmerPut |
Calculating the price of Quanto American put |
print.QuantoAmerPut_AV |
Pricing Quanto American put with Antithetic Variates |
QuantoAmerPutLSM |
Calculating the price of Quanto American put |
QuantoAmerPutLSMPriceSurf |
Deriving a table of Quanto American put prices at different volatilities and strikes |
QuantoAmerPutLSM_AV |
Pricing Quanto American put with Antithetic Variates |
summary.AmerPut |
Calculating the price of plain vanilla American put |
summary.AmerPutAV |
Pricing plain vanilla American put with Antithetic Variates |
summary.AmerPutCV |
Pricing plain vanilla American put with Control Variates |
summary.AsianAmerPut |
Calculating the price of Asian American put |
summary.PriceSurface |
Deriving a table of American put prices at different volatilities and strikes |
summary.QuantoAmerPut |
Calculating the price of Quanto American put |
summary.QuantoAmerPut_AV |
Pricing Quanto American put with Antithetic Variates |