Pricing American Options

Examples of pricing American options using MATLAB®

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)

[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.