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Option valuation with LSM

Jim S

Joined
9/16/10
Messages
1
Points
11
Hello everyone,
I'm using the Longstaff & Schwartz algorithm for an american put in matlab, and i want to implement that the strike price decreases by a certain value which is constant (5%) but following a stochastic process. I'm using this for a real option valuation but don't succeed at coding it in matlab.
Can anyone give me some help please?
 
Valuing Put Option with LSM

Dear Jim,

Here you find a paper containing a Python script (similar to Matlab) implementing the LSM algorithm for an American Put option with stochastic volatility and stochastic short rates:

American Put option with LS Monte Carlo

The exact problem you are describing can easily be modeled with our On Demand Derivatives Analytics suite DEXISION where you can freely define the put option payoff with regard to time-varying/ stochastic strike:

Derivatives Analytics Suite

Regards

Yves
 
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