Longstaff Schwartz American Option Price Analysis

Simple implementation of the Longstaff Schwarts Least Square Regression approach
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Updated 12 Oct 2017

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Simple implementation of the Longstaff Schwartz Least Square Regression approach and highlights how increasing the polynomial basis functions improves the convergence as expected.
Note that the run time will increase when number of sims increases.

Run the AmericanOptionExample.m file and probably best to run the first section to check run time.

Cite As

Ahmos Sansom (2024). Longstaff Schwartz American Option Price Analysis (https://www.mathworks.com/matlabcentral/fileexchange/64716-longstaff-schwartz-american-option-price-analysis), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2017a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0.0