[R-SIG-Finance] American basket options
Moshe Olshansky
m_olshansky at yahoo.com
Tue Oct 9 03:23:48 CEST 2007
Hello,
Is there any R code which allows to calculate the
price of an American basket option (option on a price
of a portfolio)?
If yes, are there any references to how accurate these
calculations are?
If no, can anybody recommend a relatively easy to use
software doing this?
Are there any non Monte Carlo methods to compute (even
roughly) the price on an American basket put option on
a portfolio of 10 dividend paying stocks with 6 months
maturity?
Thank you in advance,
Moshe.
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