Package: LSMonteCarlo
Type: Package
Title: American options pricing with Least Squares Monte Carlo method
Version: 1.0
Date: 2013-09-20
Author: Mikhail A. Beketov
Maintainer: Mikhail A. Beketov <mikhail.beketov@gmx.de>
Description: 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.
License: GPL-3
Depends: mvtnorm, fBasics, stats, utils, graphics, grDevices
Packaged: 2026-09-25 10:41:50 UTC; root
NeedsCompilation: no
Repository: https://cran.r-universe.dev
Date/Publication: 2013-09-20 00:00:00 UTC
RemoteUrl: https://github.com/cran/LSMonteCarlo
RemoteRef: HEAD
RemoteSha: 78630797fcb2996dcd5cb80d60380919b0445731