Longstaff Schwartz American Option Price Analysis
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.
Citation pour cette source
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. Récupéré le .
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- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Regression > Linear Regression >
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Version | Publié le | Notes de version | |
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1.0.0.0 |