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Pricing American Options

version 1.0.0.1 (244 KB) by Mark Hoyle
Examples of pricing American options using MATLAB®

8 Downloads

Updated 01 Sep 2016

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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

Cite As

Mark Hoyle (2020). Pricing American Options (https://www.mathworks.com/matlabcentral/fileexchange/16476-pricing-american-options), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (3)

xu

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.

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.

Updates

1.0.0.1

Updated license

MATLAB Release Compatibility
Created with R2007a
Compatible with any release
Platform Compatibility
Windows macOS Linux