Calculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations
returns vanilla option prices or sensitivities using the Longstaff-Schwartz model.
PriceSens
= optstocksensbyls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
)optstocksensbyls
computes prices or sensitivities of European,
Bermudan, and American vanilla options.
For American and Bermudan options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
adds
optional name-value pair arguments.PriceSens
= optstocksensbyls(___,Name,Value
)