[R-SIG-Finance] Financial Basket Options

[MAB]

Moshe Olshansky <m_olshansky <at> yahoo.com> writes:

> 
> 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 Moshe,

Thanks for your reply.

Yes, I would appreciate getting the code, although I'm not sure I am able to 
convert it to valuing call options (European call is what I'm looking at).

Regards,

Michel