American Spread Option Price using LSM [Octave Matlab]

Category: Matlab	View Full Details
American Spread Option Price using LSM
Submitter: vanna	Date: 2006/9/4

Description: Calculates Spread option price using Least Squares Monte Carlo method as described in Longstaff & Schwartz paper Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1801 0 bytes Octave Matlab http://www.quantcode.com/
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rapunzelk	Posted: 2009/10/20 4:59 Updated: 2009/10/20 4:59
Just popping in Joined: 2009/10/20 From: Posts: 1	Re: American Spread Option Price using LSM Is the "OLS" function in line 98 of this piece of code a matlab function? Can anyone tell me where to find the .m file please? Thanks!

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