{ "_id": "6a12b91facfb0bcc41d1b7ec", "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 ", "Description": "The package compiles functions for calculating prices of\nAmerican put options with Least Squares Monte Carlo method. The\noption types are plain vanilla American put, Asian American\nput, and Quanto American put. The pricing algorithms include\nvariance reduction techniques such as Antithetic Variates and\nControl Variates. Additional functions are given to derive\n\"price surfaces\" at different volatilities and strikes, create\n3-D plots, quickly generate Geometric Brownian motion, and\ncalculate prices of European options with Black & Scholes\nanalytical solution.", "License": "GPL-3", "Packaged": { "Date": "2026-05-24 08:36:19 UTC", "User": "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", "MD5sum": "07284a7e8798f1d0acd9ab82a07cd6ca", "_user": "cran", "_type": "src", "_file": "LSMonteCarlo_1.0.tar.gz", "_fileid": "a503591ee18b6240ddff29f3a2abeac63815da40cd01a2a8553f858d61709356", "_filesize": 147841, "_sha256": "a503591ee18b6240ddff29f3a2abeac63815da40cd01a2a8553f858d61709356", "_created": "2026-05-24T08:36:19.000Z", "_published": "2026-05-24T08:38:55.469Z", "_distro": "noble", "_jobs": [ { "job": 77584154397, "time": 113, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7183709753" }, { "job": 77584154405, "time": 122, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7183710558" }, { "job": 77584010601, "time": 154, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7183698049" }, { "job": 77584154403, "time": 100, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7183708325" } ], "_buildurl": "https://github.com/r-universe/cran/actions/runs/26356405023", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/LSMonteCarlo", "_commit": { "id": "78630797fcb2996dcd5cb80d60380919b0445731", "author": "Mikhail A. Beketov ", "committer": "Gabor Csardi ", "message": "version 1.0\n", "time": 1379635200 }, "_maintainer": { "name": "Mikhail A. Beketov", "email": "mikhail.beketov@gmx.de" }, "_registered": true, "_dependencies": [ { "package": "mvtnorm", "role": "Depends" }, { "package": "fBasics", "role": "Depends" }, { "package": "stats", "role": "Depends" }, { "package": "utils", "role": "Depends" }, { "package": "graphics", "role": "Depends" }, { "package": "grDevices", "role": "Depends" } ], "_owner": "cran", "_selfowned": false, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 1, "_userbio": { "uuid": 6899542, "type": "organization", "name": "cran", "description": "Unofficial read-only mirror of all CRAN R packages" }, "_downloads": { "count": 276, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/LSMonteCarlo" }, "_searchresults": 14, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/LSMonteCarlo.html", "manual.pdf" ], "_realowner": "cran", "_cranurl": false, "_releases": [ { "version": "1.0", "date": "2013-09-23" } ], "_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" ], "_help": [ { "page": "LSMonteCarlo-package", "title": "American options pricing with Least Squares Monte Carlo method", "topics": [ "LSMonteCarlo-package", "LSMonteCarlo" ] }, { "page": "AmerPutLSM", "title": "Calculating the price of plain vanilla American put", "topics": [ "AmerPutLSM", "print.AmerPut", "summary.AmerPut" ] }, { "page": "AmerPutLSM_AV", "title": "Pricing plain vanilla American put with Antithetic Variates", "topics": [ "AmerPutLSM_AV", "print.AmerPutAV", "summary.AmerPutAV" ] }, { "page": "AmerPutLSM_CV", "title": "Pricing plain vanilla American put with Control Variates", "topics": [ "AmerPutLSM_CV", "print.AmerPutCV", "summary.AmerPutCV" ] }, { "page": "AmerPutLSMPriceSurf", "title": "Deriving a table of American put prices at different volatilities and strikes", "topics": [ "AmerPutLSMPriceSurf", "plot.PriceSurface", "summary.PriceSurface" ] }, { "page": "AsianAmerPutLSM", "title": "Calculating the price of Asian American put", "topics": [ "AsianAmerPutLSM", "print.AsianAmerPut", "summary.AsianAmerPut" ] }, { "page": "AsianAmerPutLSMPriceSurf", "title": "Deriving a table of Asian American put prices at different volatilities and strikes", "topics": [ "AsianAmerPutLSMPriceSurf" ] }, { "page": "EuPutBS", "title": "Black & Scholes solution for European put and call", "topics": [ "EuCallBS", "EuPutBS" ] }, { "page": "fastGBM", "title": "Generating Geometric Brownian motion", "topics": [ "fastGBM" ] }, { "page": "firstValueRow", "title": "Returning the first >0 value in each row of a matrix", "topics": [ "firstValueRow" ] }, { "page": "price", "title": "Extracting price from the pricing functions outputs", "topics": [ "price" ] }, { "page": "QuantoAmerPutLSM", "title": "Calculating the price of Quanto American put", "topics": [ "print.QuantoAmerPut", "QuantoAmerPutLSM", "summary.QuantoAmerPut" ] }, { "page": "QuantoAmerPutLSM_AV", "title": "Pricing Quanto American put with Antithetic Variates", "topics": [ "print.QuantoAmerPut_AV", "QuantoAmerPutLSM_AV", "summary.QuantoAmerPut_AV" ] }, { "page": "QuantoAmerPutLSMPriceSurf", "title": "Deriving a table of Quanto American put prices at different volatilities and strikes", "topics": [ "QuantoAmerPutLSMPriceSurf" ] } ], "_rundeps": [ "fBasics", "gss", "MASS", "mvtnorm", "spatial", "stabledist", "timeDate", "timeSeries" ], "_score": 1.146128035678238, "_indexed": true, "_nocasepkg": 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