Trial on pricing American option using CRR method
Drawback: Programme takes long time to run if time step is large, any comment or improvement is welcome
Cite As
Steve (2024). American put option pricing (https://www.mathworks.com/matlabcentral/fileexchange/36079-american-put-option-pricing), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
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R2012a
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Inspired by: Pricing American Options
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Version | Published | Release Notes | |
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1.0.0.0 |