Price European or American spread options using Monte Carlo simulations
returns
the price of a European or American call or put spread option using
Monte Carlo simulations.Price
= spreadbyls(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.
returns
the price of a European or American call or put spread option using
Monte Carlo simulations using optional name-value pair arguments.Price
= spreadbyls(___,Name,Value
)
[
returns
the Price
,Paths
,Times
,Z
]
= spreadbyls(___,Name,Value
)Price
, Paths
, Times
,
and Z
of a European or American call or put spread
option using Monte Carlo simulations using 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.