Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Sep 9

Pricing American Options

Posted by abiao at 15:43 | Code » Matlab | Comments(0) | Reads(8098)
American options can be computed by several ways, to name a few: binomial tree, Least square Monte Carlo simulation, numerically solving PDE. Previously I share a PSOR code to calculate Linear Complementarity Formulation problem when applying finite difference or finite element for american option, here is a file including:
* GUI for pricing through CRR binormial tree
* Script for pricing with Finitie differences
* GUI for pricing via the Monte Carlo method of Longstaff and Schwartz
* Functions to implement all three methods

you'll have a clear picture in mind how to deal with American-type options, enjoy.
http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=16476&objectType=file.


Tags: , ,
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]