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Price Using Monte Carlo Simulation

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

Functions

basketbyls Price basket options using Longstaff-Schwartz model
basketsensbyls Determine price and sensitivities for basket options using Longstaff-Schwartz model
basketstockspec Specify basket stock structure using Longstaff-Schwartz model
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
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
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 Asian Options

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

Concepts

Basket Option

A basket option is an option on a portfolio of several underlying equity 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.

Spread Option

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

Vanilla Option

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

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