Price Using Monte Carlo Simulation
The Longstaff-Schwartz Least Squares approach is used to estimate the expected payoff of the American option type which allows for early exercise.
Double Barrier Options
- Pricing European and American Spread Options
This example shows how to price and calculate sensitivities for European and American spread options using various techniques.
- Hedging Strategies Using Spread Options
This example shows different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.
- Pricing Swing Options Using the Longstaff-Schwartz Method
This example shows how to price a swing option using a Monte Carlo simulation and the Longstaff-Schwartz method.
- Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion
This example shows how to simulate electricity prices using a mean-reverting model with seasonality and a jump component.
- Pricing Asian Options
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
- Supported Energy Derivative Functions
Energy derivative functions supported by Financial Instruments Toolbox™.