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VBA code for pricing Amercian Option by using Monte Carlo LSM
Posted: June 21st, 2004, 5:09 pm
by iamOZ
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
VBA code for pricing Amercian Option by using Monte Carlo LSM
Posted: August 28th, 2004, 8:05 pm
by RS26
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
VBA code for pricing Amercian Option by using Monte Carlo LSM
Posted: September 24th, 2004, 11:24 am
by fingist
I also got struck getting the "Linest" function right. Has anyone got the solution? If so, can you post the vba code?
VBA code for pricing Amercian Option by using Monte Carlo LSM
Posted: July 31st, 2007, 2:58 pm
by larcvb
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