American put option pricing

Version 1.0.0.0 (3.95 KB) by Steve
CRR method with tree output
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615 Downloads
Updated 9 Apr 2012

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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
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Find more on Financial Toolbox in Help Center and MATLAB Answers
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Acknowledgements

Inspired by: Pricing American Options

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Version Published Release Notes
1.0.0.0