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dragongate technologies


Mathematical Finance



source code: lsm.scala
version: 1.0 (released 2012/12/16)
license: Public Domain
Usage
$ scalac lsm.scala
$ scala com.dragongate_technologies.lsmOptionValue.lsm
Results of running the simulation shown on page 16 of the paper:
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  36.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  4.4719  ( 0.0093 ) [ 55.180sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  36.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  4.8259  ( 0.0112 ) [ 172.982sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  36.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  7.0959  ( 0.0189 ) [ 49.377sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  36.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  8.4998  ( 0.0225 ) [ 162.875sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  38.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  3.2391  ( 0.0094 ) [ 45.435sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  38.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  3.7472  ( 0.0110 ) [ 151.139sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  38.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  6.1343  ( 0.0184 ) [ 46.980sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  38.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  7.6628  ( 0.0223 ) [ 159.930sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  40.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  2.3101  ( 0.0087 ) [ 35.958sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  40.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  2.8840  ( 0.0105 ) [ 117.261sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  40.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  5.3088  ( 0.0180 ) [ 39.849sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  40.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  6.9022  ( 0.0219 ) [ 139.743sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  42.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  1.6129  ( 0.0076 ) [ 24.244sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  42.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  2.2150  ( 0.0098 ) [ 84.928sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  42.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  4.5871  ( 0.0172 ) [ 33.281sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  42.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  6.2509  ( 0.0215 ) [ 118.815sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  44.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  1.1102  ( 0.0066 ) [ 16.453sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  44.000 strike:  40.000 rate:  0.060 volatility:  0.200 ]
  1.6885  ( 0.0087 ) [ 61.531sec ]
[ numPaths: 100000 numSteps: 50 dT:  0.020 expiry: 1 stock:  44.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  3.9304  ( 0.0163 ) [ 28.154sec ]
[ numPaths: 100000 numSteps: 100 dT:  0.020 expiry: 2 stock:  44.000 strike:  40.000 rate:  0.060 volatility:  0.400 ]
  5.6492  ( 0.0207 ) [ 105.007sec ]




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