| Category: Matlab |
View Full Details
|
 Asian American Option using Least Square monte carlo |
| Submitter: vanna |
Date: 2009/9/24 |
|
|
Description:
Calculates American/European Asian option prices using Least Squares Monte Carlo approach(LSM). Based on paper Valuing American Options By simulation : a simple least squares approach by Longstaff & Schwartz Results can be compared to values mentioned Table 3 of the paper. Results do not perfectly match the values in the table , but somewhat though!  eg., using currently set parameters when I run the file in Octave I get these values: Monte Carlo European option price =8.13 Monte Carlo American option price =8.57 While values mentioned in table 3 of the paper are: Monte Carlo European option price =8.151 Monte Carlo American option price =8.658
Got a question or problem with this link? Just enter your message and click on submit. No registration is required.
|
3287  0 bytes  Octave Matlab  http://www.quantcode.com/ |
|
| Poster |
Thread |
| jonmayes |
Posted: 2010/7/23 18:51 Updated: 2010/7/23 18:51 |
Just popping in   Joined: 2009/2/23 From: Posts: 1 |
 Re: Asian American Option using Least Square monte carlo longstaff and schwartz use 200 fixings in their simulations -- if you update that variable in the code you get their values
|
|
|
| Poster |
Thread |
| Anonymous |
Posted: 2011/6/11 20:42 Updated: 2011/6/11 20:42 |
| |
Asian American Option using Least Square monte carlo hi in line 90 , you use a OLS function, do you have it? thanks
|
|
|
| Poster |
Thread |
| Anonymous |
Posted: 2011/10/23 5:10 Updated: 2011/11/5 15:14 |
| |
Asian American Option using Least Square monte carlo i tested with the code, the value for european style and american style is same
|
|
|
Discuss this file. Just enter your message and click on submit. No registration is required.
