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Calculate price and sensitivities for European or American spread options using Monte Carlo simulations

`PriceSens = spreadsensbyls(RateSpec,StockSpec1,StockSpec2,Settle,Maturity,OptSpec,Strike,Corr)`

`PriceSens = spreadsensbyls(___,Name,Value)`

```
[PriceSens,Paths,Times,Z]
= spreadsensbyls(RateSpec,StockSpec1,StockSpec2,Settle,Maturity,OptSpec,Strike,Corr)
```

```
[PriceSens,Paths,Times,Z]
= spreadsensbyls(___,Name,Value)
```

returns
the price of a European or American call or put spread option using
Monte Carlo simulations.`PriceSens`

= spreadsensbyls(`RateSpec`

,`StockSpec1`

,`StockSpec2`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

,`Corr`

)

For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.

adds optional name-value pair arguments.`PriceSens`

= spreadsensbyls(___,`Name,Value`

)

`[`

returns the `PriceSens`

,`Paths`

,`Times`

,`Z`

]
= spreadsensbyls(___,`Name,Value`

)`PriceSens`

, `Paths`

,
`Times`

, and `Z`

and adds optional name-value pair
arguments.

[1] Carmona, R., Durrleman, V. “Pricing and Hedging Spread
Options.” *SIAM Review.* Vol. 45, No. 4,
pp. 627–685, Society for Industrial and Applied Mathematics,
2003.

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