Calculate price and sensitivities for European or American basket options using Monte Carlo simulations
[
calculates price and sensitivities for European or American basket options using the
Longstaff-Schwartz model. PriceSens
,Paths
,Times
,Z
] = basketsensbyls(RateSpec
,BasketStockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
)
For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
[1] Longstaff, F.A., and E.S. Schwartz. “Valuing American Options by Simulation: A Simple Least-Squares Approach.” The Review of Financial Studies. Vol. 14, No. 1, Spring 2001, pp. 113–147.