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LSMonteCarlo  

American options pricing with Least Squares Monte Carlo method
View on CRAN: Click here


Download and install LSMonteCarlo package within the R console
Install from CRAN:
install.packages("LSMonteCarlo")

Install from Github:
library("remotes")
install_github("cran/LSMonteCarlo")

Install by package version:
library("remotes")
install_version("LSMonteCarlo", "1.0")



Attach the package and use:
library("LSMonteCarlo")
Maintained by
Mikhail A. Beketov
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2013-09-23
Latest Update: 2013-09-23
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.
How to cite:
Mikhail A. Beketov (2013). LSMonteCarlo: American options pricing with Least Squares Monte Carlo method. R package version 1.0, https://cran.r-project.org/web/packages/LSMonteCarlo. Accessed 25 Jun. 2026.
Previous versions and publish date:
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Complete documentation for LSMonteCarlo
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