Package: LSMonteCarlo 1.0

Mikhail A. Beketov

LSMonteCarlo: American options pricing with Least Squares Monte Carlo method

The package compiles functions for calculating prices of American put options with Least Squares Monte Carlo method. The option types are plain vanilla American put, Asian American put, and Quanto American put. The pricing algorithms include variance reduction techniques such as Antithetic Variates and Control Variates. Additional functions are given to derive "price surfaces" at different volatilities and strikes, create 3-D plots, quickly generate Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution.

Authors:Mikhail A. Beketov

LSMonteCarlo_1.0.tar.gz
LSMonteCarlo_1.0.tar.gz(r-4.5-noble)LSMonteCarlo_1.0.tar.gz(r-4.4-noble)
LSMonteCarlo_1.0.tgz(r-4.4-emscripten)LSMonteCarlo_1.0.tgz(r-4.3-emscripten)
LSMonteCarlo.pdf |LSMonteCarlo.html✨
LSMonteCarlo/json (API)

# Install 'LSMonteCarlo' in R:
install.packages('LSMonteCarlo', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 stars 156 downloads 28 exports 8 dependencies

Last updated 12 years agofrom:78630797fc. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 16 2025
R-4.5-linuxOKMar 16 2025
R-4.4-linuxOKMar 16 2025

Exports:AmerPutLSMAmerPutLSM_AVAmerPutLSM_CVAmerPutLSMPriceSurfAsianAmerPutLSMAsianAmerPutLSMPriceSurfEuCallBSEuPutBSfastGBMfirstValueRowplot.PriceSurfacepriceprint.AmerPutprint.AmerPutAVprint.AmerPutCVprint.AsianAmerPutprint.QuantoAmerPutprint.QuantoAmerPut_AVQuantoAmerPutLSMQuantoAmerPutLSM_AVQuantoAmerPutLSMPriceSurfsummary.AmerPutsummary.AmerPutAVsummary.AmerPutCVsummary.AsianAmerPutsummary.PriceSurfacesummary.QuantoAmerPutsummary.QuantoAmerPut_AV

Dependencies:fBasicsgssMASSmvtnormspatialstabledisttimeDatetimeSeries

Citation

To cite package ‘LSMonteCarlo’ in publications use:

Beketov MA (2013). LSMonteCarlo: American options pricing with Least Squares Monte Carlo method. R package version 1.0, https://CRAN.R-project.org/package=LSMonteCarlo.

ATTENTION: This citation information has been auto-generated from the package DESCRIPTION file and may need manual editing, see ‘help("citation")’.

Corresponding BibTeX entry: 

  @Manual{,
    title = {LSMonteCarlo: American options pricing with Least Squares
      Monte Carlo method},
    author = {Mikhail A. Beketov},
    year = {2013},
    note = {R package version 1.0},
    url = {https://CRAN.R-project.org/package=LSMonteCarlo},
  }