LSMonteCarlo
American options pricing with Least Squares Monte Carlo method
Description
The package compiles functions for calculating prices of American put options with Least Squares Monte Carlo method. The option types are plain vanilla American put, Asian American put, and Quanto American put. The pricing algorithms include variance reduction techniques such as Antithetic Variates and Control Variates. Additional functions are given to derive "price surfaces" at different volatilities and strikes, create 3-D plots, quickly generate Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution.
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Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Mikhail A. Beketov <mikhail.beketov@gmx.de>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = c("Mikhail", "A."),
family = "Beketov",
role = c("aut", "cre"),
email = "mikhail.beketov@gmx.de")
as necessary.
Found the following \keyword or \concept entries
which likely give several index terms:
File ‘LSMonteCarlo-package.Rd’:
\keyword{
Quantitative Finance
Option pricing
Mon [TRUNCATED]
CRAN incoming feasibility
Maintainer: ‘Mikhail A. Beketov <mikhail.beketov@gmx.de>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = c("Mikhail", "A."),
family = "Beketov",
role = c("aut", "cre"),
email = "mikhail.beketov@gmx.de")
as necessary.
Found the following \keyword or \concept entries
which likely give several index terms:
File ‘LSMonteCarlo-package.Rd’:
\keyword{
Quantitative Finance
Option pricing
Mon [TRUNCATED]
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Mikhail A. Beketov <mikhail.beketov@gmx.de>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = c("Mikhail", "A."),
family = "Beketov",
role = c("aut", "cre")
...[truncated]...
= "mikhail.beketov@gmx.de")
as necessary.
Found the following \keyword or \concept entries
which likely give several index terms:
File ‘LSMonteCarlo-package.Rd’:
\keyword{
Quantitative Finance
Option pricing
Mon [TRUNCATED]
CRAN incoming feasibility
Maintainer: ‘Mikhail A. Beketov <mikhail.beketov@gmx.de>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = c("Mikhail", "A."),
family = "Beketov",
role = c("aut", "cre")
...[truncated]...
= "mikhail.beketov@gmx.de")
as necessary.
Found the following \keyword or \concept entries
which likely give several index terms:
File ‘LSMonteCarlo-package.Rd’:
\keyword{
Quantitative Finance
Option pricing
Mon [TRUNCATED]