[R-SIG-Finance] Financial Basket Options

[Moshe Olshansky]

Hi Michel,

European option (either put or call) is a much easier
task than the American one since the optimal strategy
is known (and trivial).
Are any dividends expected before maturity? Are they
fixed amount (usually the case when the maturity date
is not too far away) or a known dividend yield?
If you wish I can send you this code as well.

I will try to slightly clean up my code during the
weekend and then I will send it to anyone interested.

Regards,

Moshe.

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

> 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
> 
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