Price basket options using LongstaffSchwartz model
Price = basketbyls(RateSpec, BasketStockSpec, OptSpec,
Strike,
Settle, ExerciseDates)
Price = basketbyls(RateSpec, BasketStockSpec, OptSpec,
Strike,
Settle, ExerciseDates, 'ParameterName'
, ParameterValue
,
...)
Price = basketbyls(RateSpec, BasketStockSpec, OptSpec,
Strike,
prices basket
options using the LongstaffSchwartz model.
Settle, ExerciseDates)
Price = basketbyls(RateSpec, BasketStockSpec, OptSpec,
Strike,
accepts optional inputs as one or more commaseparated
parameter/value pairs.
Settle, ExerciseDates, 'ParameterName'
, ParameterValue
,
...)'ParameterName'
is
the name of the parameter inside single quotes. ParameterValue
is
the value corresponding to 'ParameterName'
.
Specify parametervalue pairs in any order. Names are caseinsensitive
and partial matches are allowable, if no ambiguities exist.

Annualized, continuously compounded rate term structure. For
more information on the interest rate specification, see 



Character vector or 

The option strike price:


Scalar of the settlement or trade date specified as a character vector or serial date number. 

The exercise date for the option:


Parameter values are a scalar flag.
Default: 0 

Parameter value is a scalar number of simulation periods per
trial. Default: 100 

Parameter value is a scalar number of independent sample paths (simulation trials). Default: 1000 

Price of the basket option. 
Longstaff, F.A., and E.S. Schwartz. "Valuing American Options by Simulation: A Simple LeastSquares Approach." The Review of Financial Studies. Vol. 14, No. 1, Spring 2001, pp. 113–147.