4.0 | 1 rating Rate this file 61 downloads (last 30 days) File Size: 244.05 KB File ID: #16476

Pricing American Options

20 Sep 2007 (Updated 20 Sep 2007)

Code covered by the BSD License

Examples of pricing American options using MATLAB®

File Information
Description	A zip file containing the examples that were used in the webinar: "Teaching and Research of Computational Finance with MATLAB" Including: * GUI for pricing an options via CRR tree * Script for priocing via Finitie differences * GUI for pricing via the Monte Carlo method of Longstaff and Schwartz * Functions to implement all three methods
MATLAB release	MATLAB 7.4 (R2007a)
Zip File Content
Other Files	AMERICAN_OPTION_DATA.mat, AmericanOptCRR.m, AmericanOptFD.m, AmericanOptLSM.m, BlackScholesFcn.m, Comparison_Script.m, Contents.m, CreateFDPlot.m, CRRData.mat, FD_method.m, LSM_Plot.m, PlotCRRTree.m, ResultsGUI.fig, ResultsGUI.m, SetupFDMatrix.m, TestGUI.fig, TestGUI.m

Tags for This File
Everyone's Tags	american options, analysis, crr, finance, finite differ, longstaff, modeling(2), monte carlo, schwartz(2)
Tags I've Applied
Add New Tags	Please login to tag files.

Comments and Ratings (1)
04 Dec 2007	Magrino Bini	Nice code, easy to understand. The "fair" is due to a small bug that jumped up as soon as I try pricing a call in the CRR method. line52 of AmericanOptCRR should read as max(V(jj)-K,0); It is a pity cause it means the code appears nice but it has not be fully tested. Also the case in which a div yeld or dividends are present should be put in to obtain a nice and clean library. Best, M.

Please login to add a comment or rating.

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Mark Hoyle	22 Oct 2008 09:27:44
modeling	Mark Hoyle	22 Oct 2008 09:27:44
analysis	Mark Hoyle	22 Oct 2008 09:27:44
monte carlo	Mark Hoyle	22 Oct 2008 09:27:44
longstaff	Mark Hoyle	22 Oct 2008 09:27:44
finite differ	Mark Hoyle	22 Oct 2008 09:27:44
american options	Mark Hoyle	22 Oct 2008 09:27:44
crr	Mark Hoyle	22 Oct 2008 09:27:44
schwartz	Mark Hoyle	22 Oct 2008 09:27:44
schwartz	Rafael Curiel	04 Mar 2009 20:41:10
modeling	Mohammad Pour	30 Jun 2009 15:36:25

MATLAB Central Terms of Use

NOTICE: Any content you submit to MATLAB Central, including personal information, is not subject to the protections which may be afforded information collected under other sections of The MathWorks, Inc. Web site. You are entirely responsible for all content that you upload, post, e-mail, transmit or otherwise make available via MATLAB Central. The MathWorks does not control the content posted by visitors to MATLAB Central and, does not guarantee the accuracy, integrity, or quality of such content. Under no circumstances will The MathWorks be liable in any way for any content not authored by The MathWorks, or any loss or damage of any kind incurred as a result of the use of any content posted, e-mailed, transmitted or otherwise made available via MATLAB Central. Read the complete Terms prior to use.