Pricing American Options: All Files - File Exchange

Code covered by the BSD License

Highlights from
Pricing American Options

LSM_Plot(S0,K,r,T,sigma,N,M) Function to demonstrate the Longstaff-Schwartz Least Squares algorithm
PlotCRRTree(S0,K,r,T,sigma,N,... PlotCRRTree the values in the CRR tree give by P.
ResultsGUI(varargin) RESULTSGUI M-file for ResultsGUI.fig
TestGUI(varargin) TESTGUI M-file for TestGUI.fig
AmericanOptCRR(S0,K,r,T,sigma... AmericanOptCRR - Price an american option via Cox-Ross-Rubenstein tree
AmericanOptFD(S0,K,r,T,sigma,... AmericanOptFD - Price an american option via finite differences
AmericanOptLSM(S0,K,r,T,sigma... AmericanOptLSM - Price an american option via Longstaff-Schwartz Method
BlackScholesFcn(A,E,r,T,s)
CreateFDPlot(S0,K,T,s,t,P) CreateFDPlot - Use MATLAB graphics commands to create a custom plot to
SetupFDMatrix(S0,K,r,T,sigma,... SetupFDMatrix - Create a matrix which can be used to solve the
Comparison_Script.m
Contents.m
FD_method.m
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from Pricing American Options by Mark Hoyle
Examples of pricing American options using MATLAB®

All files for Pricing American Options

/AMERICAN_OPTION_DATA.mat
/AmericanOptCRR.m
/AmericanOptFD.m
/AmericanOptLSM.m
/BlackScholesFcn.m
/CRRData.mat
/Comparison_Script.m
/Contents.m
/CreateFDPlot.m
/FD_method.m
/LSM_Plot.m
/PlotCRRTree.m
/ResultsGUI.fig
/ResultsGUI.m
/SetupFDMatrix.m
/TestGUI.fig
/TestGUI.m
/license.txt

Highlights from Pricing American Options

Highlights from
Pricing American Options