Longstaff-Schwartz LSM American Option Valuation

Price American options via Longstaff-Schwartz least-squares Monte Carlo. Regresses continuation values on basis functions at each exercise date to determine optimal stopping.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How to Use

Enter the values for the scenario you are assessing. Price American options via Longstaff-Schwartz least-squares Monte Carlo. Regresses continuation values on basis functions at each exercise date to determine optimal stopping. Use the lsm regression american result to inform your calculation.

Frequently Asked Questions