American options pricing with Least Squares Monte Carlo method

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Documentation for package ‘LSMonteCarlo’ version 1.0

• DESCRIPTION file.

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LSMonteCarlo-package	American options pricing with Least Squares Monte Carlo method
AmerPutLSM	Calculating the price of plain vanilla American put
AmerPutLSMPriceSurf	Deriving a table of American put prices at different volatilities and strikes
AmerPutLSM_AV	Pricing plain vanilla American put with Antithetic Variates
AmerPutLSM_CV	Pricing plain vanilla American put with Control Variates
AsianAmerPutLSM	Calculating the price of Asian American put
AsianAmerPutLSMPriceSurf	Deriving a table of Asian American put prices at different volatilities and strikes
EuCallBS	Black & Scholes solution for European put and call
EuPutBS	Black & Scholes solution for European put and call
fastGBM	Generating Geometric Brownian motion
firstValueRow	Returning the first >0 value in each row of a matrix
LSMonteCarlo	American options pricing with Least Squares Monte Carlo method
plot.PriceSurface	Deriving a table of American put prices at different volatilities and strikes
price	Extracting price from the pricing functions outputs
print.AmerPut	Calculating the price of plain vanilla American put
print.AmerPutAV	Pricing plain vanilla American put with Antithetic Variates
print.AmerPutCV	Pricing plain vanilla American put with Control Variates
print.AsianAmerPut	Calculating the price of Asian American put
print.QuantoAmerPut	Calculating the price of Quanto American put
print.QuantoAmerPut_AV	Pricing Quanto American put with Antithetic Variates
QuantoAmerPutLSM	Calculating the price of Quanto American put
QuantoAmerPutLSMPriceSurf	Deriving a table of Quanto American put prices at different volatilities and strikes
QuantoAmerPutLSM_AV	Pricing Quanto American put with Antithetic Variates
summary.AmerPut	Calculating the price of plain vanilla American put
summary.AmerPutAV	Pricing plain vanilla American put with Antithetic Variates
summary.AmerPutCV	Pricing plain vanilla American put with Control Variates
summary.AsianAmerPut	Calculating the price of Asian American put
summary.PriceSurface	Deriving a table of American put prices at different volatilities and strikes
summary.QuantoAmerPut	Calculating the price of Quanto American put
summary.QuantoAmerPut_AV	Pricing Quanto American put with Antithetic Variates