LSMonteCarlo

Package: LSMonteCarlo
Type: Package
Title: American options pricing with Least Squares Monte Carlo method
Version: 1.0
Date: 2013-09-20
Author: Mikhail A. Beketov
Maintainer: Mikhail A. Beketov <mikhail.beketov@gmx.de>
Description: The package compiles functions for calculating prices of American put options with Least Squares Monte Carlo method. The option types are plain vanilla American put, Asian American put, and Quanto American put. The pricing algorithms include variance reduction techniques such as Antithetic Variates and Control Variates. Additional functions are given to derive "price surfaces" at different volatilities and strikes, create 3-D plots, quickly generate Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution.
License: GPL-3
Depends: mvtnorm, fBasics, stats, utils, graphics, grDevices
Packaged: 2013-09-23 19:14:13 UTC; mikhailbeketov
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2013-09-23 23:07:43

Install log

* installing to library '/home/ddbj/local/lib64/R/library'
* installing *source* package 'LSMonteCarlo' ...
** package 'LSMonteCarlo' successfully unpacked and MD5 sums checked
** R
** preparing package for lazy loading
** help
*** installing help indices
  converting help for package 'LSMonteCarlo'
    finding HTML links ... done
    AmerPutLSM                              html  
    AmerPutLSMPriceSurf                     html  
    AmerPutLSM_AV                           html  
    AmerPutLSM_CV                           html  
    AsianAmerPutLSM                         html  
    AsianAmerPutLSMPriceSurf                html  
    EuPutBS                                 html  
    LSMonteCarlo-package                    html  
    QuantoAmerPutLSM                        html  
    QuantoAmerPutLSMPriceSurf               html  
    QuantoAmerPutLSM_AV                     html  
    fastGBM                                 html  
    firstValueRow                           html  
    price                                   html  
** building package indices
** testing if installed package can be loaded
* DONE (LSMonteCarlo)
Making 'packages.html' ... done