function?p?=?AmericanOption（rkTsPath）
%?American?call?Option

[nStepnPath]?=?size（sPath）;
nStep?=?nStep?-?1;

%?time?step
deltaT?=?T?/?nStep;
%?initialize?cashflow?matrix
cashflow?=?zeros（size（sPath））;
%?the?last?row‘s?value
cashflow（end:）?=?max（sPath（end:）-k0）;
%?etime?:?Record?the?optimal?execution?time
etime?=?（nStep+1）?*?ones（1nPath）;
%?Calculate?from?the?back?to?the?front
for?i?=?nStep:-1:2
%?row‘s?value
cashflow（i:）?=?max（sPath（i:）-k0）;
%?find?Find?the?location?of?real-value?options
ind?=?find（cashflow（i:）?>?0）;
%?Read?the?cash?flow?corresponding?to?line?I?+?1
%?which?corresponds?to?the?real?value?path?of?line?I
cf?=?cashflow（i+1ind）;
%?Discount?cash?flow
v?=?cf?.*?exp（-r?*?deltaT）;
%?Find?out?the?stock?prices?corresponding?to?these?locations
s?=?sPath（iind）;
%?Regression?to?find?the?parameters?of?a?b?c
md?=?fitlm（sv‘purequadratic‘）;
fun?=?@（x）?（md.Coefficients.Estimate（1）?+?md.Coefficients.Estimate（2）?.*?x?...
????+?md.Coefficients.Estimate（3）?.*?x?.^?2）;
%?Continuing?Holding?Value?of?Options
????hv?=?fun（s）;
????
%??
%?%?Comparing?holding?value?with?execution?value?using?ind1?to?mark?the?optimal?execution?time
%?ind1?=?cashflow（iind）?>?hv;
%?%?If?the?holding?value?is?less?than?the?execution?value?and?the?position?option?is?executed?immediately?
%?%?the?cash?flow?at?the?position?of?i+1?is?0.
%?cashflow（i+1ind（ind1））?=?0;
%?%?Find?out?the?non-optimal?position
%?ind2?=?setdiff（1:nPathind（ind1））;
%?%?Discount?cash?flow?of?I?+?1?position??to?I?position
%?cashflow（iind2）?=?cashflow（i+1ind2）?.*?exp（-r?*?deltaT）;

%?Comparing?holding?value?with?execution?value?using?ind1?to?mark?the?optimal?execution?time
ind1?=?cashflow（iind）?>?hv;
cashflow（iind（~ind1））?=?hv（~ind1）;
%?If?the?holding?value?is?less?than?the?execution?value?and?the?position?option?is?executed?immediately?
%?the?cash?flow?at?the?position?of?i+1?is?0.
cashflow（i+1:endind（ind1））?=?0;
%?Find?out?the?non-optimal?position
ind2?=?setdiff（1:nPathind）;
cashflow（iind2）?=?cashflow（i+1ind2）?*?exp（-r?*?deltaT）;
%?Discount?cash?flow?of?I?+?1?position??to?I?position
%?cashflow（iind2）?=?cashflow（i+1ind2）?.*?exp（-r?*?deltaT）;


%?Recording?optimal?execution?time
etime（ind（ind1））?=?i;
end
%?Calculating?Option?Price
p?=?mean（cashflow（2:））?*?exp（-r?*?deltaT）;
end

?屬性????????????大小?????日期????時(shí)間???名稱
-----------?---------??----------?-----??----
?????文件????10704644??2019-03-21?22:39??287579.pdf
?????文件????????2346??2019-03-25?20:22??AmericanOption.m
?????文件??????100265??2019-03-21?22:35??Annualised?Volatility?of?IBM.xlsx
?????文件????????1075??2019-03-25?21:24??aoption.m
?????文件??????756774??2019-03-26?00:50??LongstaffSchwartzAmericanOptionsLeastSquareMonteCarlo.pdf
?????文件?????????747??2019-03-27?00:28??main_script.m
?????文件????????1446??2019-03-25?23:47??mcAoption.m
?????文件??????125694??2019-03-25?23:51??simulate?paths.jpg
?????文件?????????408??2019-03-23?18:23??simulatePath.m
?????文件?????????165??2019-04-04?13:54??~$Annualised?Volatility?of?IBM.xlsx
?????文件??????903789??2019-03-25?17:57??關(guān)于最小二乘蒙特卡洛模擬法在美式期權(quán)定價(jià)中的應(yīng)用.xdf
?????文件?????3212567??2019-03-25?18:37??基于最小二乘蒙特卡羅模擬方法的豆粕期貨期權(quán)定價(jià)實(shí)證研究.pdf
?????文件?????3610715??2019-03-25?17:32??美式期權(quán)定價(jià)的最小二乘蒙特卡羅方法及其改進(jìn)模型.nh
?????文件???????87046??2019-03-22?13:06??要求.png