% This is material illustrating the methods from the book
% Financial Modelling - Theory, Implementation and Practice with Matlab
% source
% Wiley Finance Series
% ISBN 978-0-470-74489-5
%
% Date: 02.05.2012
%
% Authors: Joerg Kienitz
% Daniel Wetterau
%
% Please send comments, suggestions, bugs, code etc. to
% kienitzwetterau_FinModelling@gmx.de
%
% (C) Joerg Kienitz, Daniel Wetterau
%
% Since this piece of code is distributed via the mathworks file-exchange
% it is covered by the BSD license
%
% This code is being provided solely for information and general
% illustrative purposes. The authors will not be responsible for the
% consequences of reliance upon using the code or for numbers produced
% from using the code.
% Script for testing different tree methods for pricing Americans
Nr = 13; % exercise possibilities
NSim = 1000; % number of simulations
S0 = 100; % spot price
K = 100; % strike price
ScaleFactor = 156;
T=1;
dt = T/Nr; %Intervalllnge
r = 0.06; % zero rate
d = 0.0; % dividend yield
sigma = 0.15;
type = 1; % a put
S0 = S0 * exp(-d*T);
S0 = S0 / ScaleFactor;
K = K / ScaleFactor;
Barrier = 95;
Barrier = Barrier / ScaleFactor;
fprintf('Tree Values:');
% binomial cox ross rubinstein tree for comparison
tic;
BinTree_CP(S0, K, r, T, sigma, 20, type)*ScaleFactor
toc
tic;
BinTree_A(S0, K, r, T, sigma, 20, type)*ScaleFactor
toc
tic;
BinTree_KI(S0, K, r, T, sigma, 20, Barrier, type)* ScaleFactor
toc