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Sep 9

Pricing American Options

Posted by abiao at 15:43 | Code » Matlab | Comments(0) | Reads(7802)
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.

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