Financial Basket Options

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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