powered by Thetaris

Please follow the instructions below:

  • After installation of Theta Proxy, press Alt+F11 in your current Excel sheet to open the Microsoft Visual Basic Editor. Here, you can create a macro by using Visual Basic for Applications (VBA). In the Project Explorer, insert two new modules by right-clicking on “Modules” and pressing “Insert”. Download American_put.txt and Gauss.txt and paste their contents to the two modules created before. After saving, you are ready to price this VBA American Put Option.

    Download VBA Code for Gaussian Random Numbers (338 Bytes)
    Gaussian random numbers required of the Monte Carlo option pricing of the American put option.
    Download VBA Code for American Put Option Pricing with LSMC (4 kB)
    Least-Squares Monte Carlo for American Option Pricing according to Carriere resp. Longstaff and Scharz.
  • Prepare a Excel sheet with the following content:

  • Now, you are invited to click on the train button and speed-up your function. See Quick Start for further details. Depending on the required accuracy “Epsilon” and the number of Monte-Carlo paths chosen in the Training dialog, the training time varies. Using “Epsilon” of 0.02 and 30000 paths (cell B7) requires 1 to 2 hours for training. After training, we can get the result as below:

    This means we got a speed-up of over 2500x for this test case!