[R-SIG-Finance] Financial Basket Options

[Wojciech Slusarski]

Hi Mosche,

Once I have implemented L-S algorithm for pricing american-asian
options. I am wondering, how stable it is for basket options. What
sort of polynomials did you use? Are you regressing only paths that
are in-the-money, or all? If yes, what do you do, when the number of
paths is lower, than the number of coefficients in the regression?
Unfourtunately my code is not a generic one, and is not useful for
pricing different option from the one I was pricing, so sharing that
code would not bring any benefit to anybody, though if that is
possible, I would appreciate a lot if you could send me your
implementation if that is a flexible code.

Best regards,
Wojciech

2008/1/16, Moshe Olshansky <m_olshansky at yahoo.com>:
> 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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