VBA code for pricing Amercian Option by using Monte Carlo LSM

iamOZ · June 21st, 2004, 5:09 pm

Hi Gary, I have looked at your VB code of LSM. I would say it's fastastic. However, it turned out that the VB can't get the LinEst function from the worksheet. So are there any ways to fix this, or do we have to program it differently?Cheers,OZ

RS26 · August 28th, 2004, 8:05 pm

Hi, Gary,I'm also working on the LS article, but for Bermuda IR swaptionsI managed to get LinEst function working on Excel, but I have dimensionality problems - i.e. my regression uses 9 variables and the code is working only for 5 variables.Would you happen to know how many coefficients the OLS function can calculate, based on LinEst function?Thanks,R

fingist · September 24th, 2004, 11:24 am

I also got struck getting the "Linest" function right. Has anyone got the solution? If so, can you post the vba code?

larcvb · July 31st, 2007, 2:58 pm

Fingist,To get Linest to work when using VBA you need to have the analysis toolpak - vba activated. You can find it in tools/add-ins.CheersL