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