Price Using Monte Carlo Simulation

Price spread, Asian, and vanilla options using Monte Carlo simulation with Longstaff-Schwartz option pricing model

The Longstaff-Schwartz Least Squares approach is used to estimate the expected payoff of the American option type which allows for early exercise.

Functions

`spreadbyls`	Price European or American spread options using Monte Carlo simulations
`spreadsensbyls`	Calculate price and sensitivities for European or American spread options using Monte Carlo simulations

`barrierbyls`	Price European or American barrier options using Monte Carlo simulations
`barriersensbyls`	Calculate price and sensitivities for European or American barrier options using Monte Carlo simulations

`dblbarrierbybls`	Price European double barrier options using Black-Scholes option pricing model (Since R2019a)
`dblbarriersensbybls`	Calculate prices and sensitivities for European double barrier options using Black-Scholes option pricing model (Since R2019a)

`asianbyls`	Price European or American Asian options using Monte Carlo simulations
`asiansensbyls`	Calculate price and sensitivities for European or American Asian options using Monte Carlo simulations

`lookbackbyls`	Price European or American lookback options using Monte Carlo simulations
`lookbacksensbyls`	Calculate price and sensitivities for European or American lookback options using Monte Carlo simulations

`optstockbyls`	Price European, Bermudan, or American vanilla options using Monte Carlo simulations
`optstocksensbyls`	Calculate price and sensitivities for European, Bermudan, or American vanilla options using Monte Carlo simulations

optpricebysim Price option given simulated underlying values

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™.