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Price Using Monte Carlo Simulation

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

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
barrierbyls Calculate barrier option prices using Longstaff-Schwartz model
barriersensbyls Calculate barrier option prices or sensitivities using Longstaff-Schwartz model
asianbyls Price European or American Asian option using Longstaff-Schwartz model
asiansensbyls Calculate European or American Asian option prices or sensitivities using Longstaff-Schwartz model
lookbackbyls Calculate prices of lookback options using Longstaff-Schwartz model
lookbacksensbyls Calculate prices or sensitivities of lookback options using Longstaff-Schwartz model
optstockbyls Price European, Bermudan, or American vanilla options using Longstaff-Schwartz model
optstocksensbyls Calculate European, Bermudan, or American vanilla option prices or sensitivities using Longstaff-Schwartz model
optpricebysim Price 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™.

Spread Option

A spread option is an option written on the difference of two underlying assets.

Asian Option

An Asian option is a path-dependent option with a payoff linked to the average value of the underlying asset during the life of the option.

Vanilla Option

A vanilla option has an expiration date and straightforward strike price.

Lookback Option

A lookback option is a path-dependent option based on the maximum or minimum value the underlying asset achieves during the entire life of the option.

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