Price Using Monte Carlo Simulation
Use Monte Carlo simulations to model the probability of different outcomes in a process that cannot be easily predicted due to the intervention of random variables. The Longstaff-Schwartz Least Squares approach is used to estimate the expected payoff of the American option type which allows for early exercise.
Examples and How To
- Pricing Asian Options
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.