A zip file containing the examples that were used in the webinar: "Teaching and Research of Computational Finance with MATLAB"
* 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
Mark Hoyle (2020). Pricing American Options (https://www.mathworks.com/matlabcentral/fileexchange/16476-pricing-american-options), MATLAB Central File Exchange. Retrieved .
Nice work! But I find a little mistake in AmericanOptLSM. It just suitable for put options but not call options. And after a little modification, it can be work, too.
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.