Longstaff Schwartz American Option Price Analysis
版本 1.0.0.0 (546.1 KB) 作者:
Ahmos Sansom
Simple implementation of the Longstaff Schwarts Least Square Regression approach
Simple implementation of the Longstaff Schwartz Least Square Regression approach and highlights how increasing the polynomial basis functions improves the convergence as expected.
Note that the run time will increase when number of sims increases.
Run the AmericanOptionExample.m file and probably best to run the first section to check run time.
引用格式
Ahmos Sansom (2024). Longstaff Schwartz American Option Price Analysis (https://www.mathworks.com/matlabcentral/fileexchange/64716-longstaff-schwartz-american-option-price-analysis), MATLAB Central File Exchange. 检索来源 .
MATLAB 版本兼容性
创建方式
R2017a
兼容任何版本
平台兼容性
Windows macOS Linux类别
- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Regression > Linear Regression >
在 Help Center 和 MATLAB Answers 中查找有关 Linear Regression 的更多信息
标签
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!版本 | 已发布 | 发行说明 | |
---|---|---|---|
1.0.0.0 |