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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

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basketbylsPrice European or American basket options using Monte Carlo simulations
basketsensbylsCalculate price and sensitivities for European or American basket options using Monte Carlo simulations
barrierbylsPrice European or American barrier options using Monte Carlo simulations
barriersensbylsCalculate price and sensitivities for European or American barrier options using Monte Carlo simulations
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
lookbackbylsPrice European or American lookback options using Monte Carlo simulations
lookbacksensbylsCalculate price and sensitivities for European or American lookback options using Monte Carlo simulations
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
optstockbyls Price European, Bermudan, or American vanilla options using Monte Carlo simulations
optstocksensbylsCalculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations
optpricebysimPrice option given simulated underlying values

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