Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Price Using Monte Carlo Simulation

Price spread, Asian, and vanilla options using Monte Carlo simulation with Longstaff-Schwartz option pricing model

The Longstaff-Schwartz Least Squares approach is used to estimate the expected payoff of the American option type which allows for early exercise.

Functions

spreadbyls Price European or American spread options using Monte Carlo simulations
spreadsensbyls Calculate price and sensitivities for European or American spread options using Monte Carlo simulations
barrierbylsPrice European or American barier options using Monte Carlo simulations
barriersensbylsCalculate price and sensitivities for European or American barrier options using Monte Carlo simulations
asianbyls Price European or American Asian options using Monte Carlo simulations
asiansensbyls Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations
lookbackbylsPrice European or American lookback options using Monte Carlo simulations
lookbacksensbylsCalculate price and sensitivities for European or American lookback options using Monte Carlo simulations
optstockbyls Price European, Bermudan, or American vanilla options using Monte Carlo simulations
optstocksensbylsCalculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations
optpricebysimPrice option given simulated underlying values

Examples and How To

Pricing European and American Spread Options

This example shows how to price and calculate sensitivities for European and American spread options using various techniques.

Hedging Strategies Using Spread Options

This example shows different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.

Pricing Swing Options using the Longstaff-Schwartz Method

This example shows how to price a swing option using a Monte Carlo simulation and the Longstaff-Schwartz method.

Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion

This example shows how to simulate electricity prices using a mean-reverting model with seasonality and a jump component.

Pricing Asian Options

This example shows how to price a European Asian option using four methods in the Financial Instruments Toolbox™.

Concepts

Supported Energy Derivatives

Energy derivatives supported by Financial Instruments Toolbox™.

Was this topic helpful?