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Price European or American spread options using Monte Carlo simulations

returns the price of a European or American call or put spread option using Monte Carlo
simulations.`Price`

= spreadbyls(`RateSpec`

,`StockSpec1`

,`StockSpec2`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

,`Corr`

)

For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.

returns the price of a European or American call or put spread option using Monte Carlo
simulations using optional name-value pair arguments.`Price`

= spreadbyls(___,`Name,Value`

)

`[`

returns the `Price`

,`Paths`

,`Times`

,`Z`

]
= spreadbyls(___,`Name,Value`

)`Price`

, `Paths`

, `Times`

,
and `Z`

of a European or American call or put spread option using Monte
Carlo simulations using optional name-value pair arguments.

[1] Carmona, R., Durrleman, V. “Pricing and Hedging Spread Options.”
*SIAM Review.* Vol. 45, No. 4, pp. 627–685, Society for Industrial and
Applied Mathematics, 2003.