Value American and Real Options Through LSM Simulation


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Documentation for package ‘LSMRealOptions’ version 0.2.0

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GBM_simulate Simulate the geometric Brownian motion (GBM) stochastic process through Monte Carlo simulation
GOU_simulate Simulate the geometric Ornstein-Uhlenbeck (GOU) stochastic process through Monte Carlo simulation
IGBM_simulate Simulate the inhomogeneous geometric Brownian motion (IGBM) stochastic process through Monte Carlo simulation
LSM_american_option Value American-Style Options Through Least-Squares Monte Carlo (LSM) Simulation
LSM_real_option Value capital investment projects through least-squares Monte Carlo (LSM) simulation:
LSM_real_option_OF Value operationally flexible capital investment projects through least-squares Monte Carlo (LSM) simulation: