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updated 1 year ago

Modern Pricing Method using Transforms by Kienitz Wetterau FinModelling

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options. (cos, conv, lewis)

CF(model,u,T,r,d,varargin)

CallPricingFFT(model,n,S,K,T,r,d,varargin)

CallPricingFFTi(model,n,S,K,T,r,d,imethod,varargin)

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updated 6 years ago

Pricing American Options by Mark Hoyle

Examples of pricing American options using MATLABĀ® (finance, modeling, analysis)

AmericanOptCRR(S0,K,r,T,sigma,N,type)

AmericanOptFD(S0,K,r,T,sigma,N,M,type)

AmericanOptLSM(S0,K,r,T,sigma,N,M,type)

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