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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

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

1.15 score 14 scripts 166 downloads 28 exports 8 dependencies

Last updated 11 years agofrom:78630797fc. Checks:OK: 2. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Dec 16 2024
R-4.5-linux	OK	Dec 16 2024

Exports:AmerPutLSM AmerPutLSM_AV AmerPutLSM_CV AmerPutLSMPriceSurf AsianAmerPutLSM AsianAmerPutLSMPriceSurf EuCallBS EuPutBS fastGBM firstValueRow plot.PriceSurface price print.AmerPut print.AmerPutAV print.AmerPutCV print.AsianAmerPut print.QuantoAmerPut print.QuantoAmerPut_AV QuantoAmerPutLSM QuantoAmerPutLSM_AV QuantoAmerPutLSMPriceSurf summary.AmerPut summary.AmerPutAV summary.AmerPutCV summary.AsianAmerPut summary.PriceSurface summary.QuantoAmerPut summary.QuantoAmerPut_AV

Dependencies:fBasics gss MASS mvtnorm spatial stabledist timeDate timeSeries

Help page	Topics
American options pricing with Least Squares Monte Carlo method	LSMonteCarlo-package LSMonteCarlo
Calculating the price of plain vanilla American put	AmerPutLSM print.AmerPut summary.AmerPut
Pricing plain vanilla American put with Antithetic Variates	AmerPutLSM_AV print.AmerPutAV summary.AmerPutAV
Pricing plain vanilla American put with Control Variates	AmerPutLSM_CV print.AmerPutCV summary.AmerPutCV
Deriving a table of American put prices at different volatilities and strikes	AmerPutLSMPriceSurf plot.PriceSurface summary.PriceSurface
Calculating the price of Asian American put	AsianAmerPutLSM print.AsianAmerPut summary.AsianAmerPut
Deriving a table of Asian American put prices at different volatilities and strikes	AsianAmerPutLSMPriceSurf
Black & Scholes solution for European put and call	EuCallBS EuPutBS
Generating Geometric Brownian motion	fastGBM
Returning the first >0 value in each row of a matrix	firstValueRow
Extracting price from the pricing functions outputs	price
Calculating the price of Quanto American put	print.QuantoAmerPut QuantoAmerPutLSM summary.QuantoAmerPut
Pricing Quanto American put with Antithetic Variates	print.QuantoAmerPut_AV QuantoAmerPutLSM_AV summary.QuantoAmerPut_AV
Deriving a table of Quanto American put prices at different volatilities and strikes	QuantoAmerPutLSMPriceSurf

Package: LSMonteCarlo 1.0

LSMonteCarlo: American options pricing with Least Squares Monte Carlo method

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