[R-SIG-Finance] Financial Basket Options

[Moshe Olshansky]

Hi Michel,

I wrote an R code implementing Longstaff-Schwartz
algorithm for pricing American put Basket option (on
the portfolio value). This code can be easily changed
to value call option (I intend to allow for "any"
payoff function in the future).
I can send you this code. It is in a very preliminary
state, so even though I did some basic testing I can
not guarantee it to be correct.

Regards,

Moshe.

--- MAB <MichelBeck at sbcglobal.Net> wrote:

> Hi!
> 
> I am looking for R code to price a multiple asset
> basket option.
> So far I only found a 2 asset pricer (in the
> R-metrics packafe fExoticOption).
> Where could I find some code for at least 4 assets?
> 
> Thank you,
> 
> Michel Beck
> 
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