Search
Code Directory
 ASP
 ASP.NET
 C/C++
 CFML
 CGI/PERL
 Delphi
 Development
 Flash
 HTML
 Java
 JavaScript
 Pascal
 PHP
 Python
 SQL
 Tools
 Visual Basic & VB.NET
 XML
New Code
AnyGantt JS Gantt Charts 8.1.0
PHP Scripts Mall Pvt Ltd 1.0.2
Bytescout PDF To HTML SDK 8.7.0.2980
JavaScript Framework Shield UI 1.7.34
Fortune Car Rental Script 3.4
Fortune Stackoverflow Clone 3.4
VintaSoft Imaging .NET SDK 8.6
wolfSSL 3.12.2
Bytescout BarCode Generator SDK 4.62.0.964
ThomasNet Clone Script 2.0
Easy Button & Menu Maker 5.0
Entrepreneur News Portal 1.6
Fortune Quibids Clone 3.4
Database Workbench Pro 5.3.4
Extensibility Studio 2.0
Top Code
Face Detection & Recognition System 1.0
efax 0.9
Extreme Injector 3.7
Extended HTML 0.1
Real Time Battle 1.1
Python : Open Source Scripts
OpenSees Pre- and Post- Processing 1.0
Rate Adaptative Water Filling 1.0
Attachment File Icons (AF Icons) 1.0
fastLogin 1.III
HTML Rich Text Area 1.III
greedy algorithm in OFDM resource allocation (single user) 1.0
AJ Matrix Pro - Multi Level Marketing Software 1
Nonlinear F-16 Fighter Model 1.0
MNOgl Component Collection 1.0
Top Rated
Output Messenger - company chat software 1.7.6
PHP Image Resize Script 1.0
Jango Clone Script 1.0
Best Spotify Clone 1.0
Get Random Record Based on Weight 1.0.0
Travel Portal Script 9.29
Magento Product Designer 1.0
OFOS - Just Eat Clone Script 1.0
PrestaShop Upload Images Module 1.2.1
Trading Software 1.2.4
Readymade MLM Products 2.01
ADO.NET Provider for ExactTarget 1.0
Solid File System OS edition 5.1
Classified Ad Lister 1.0
Aglowsoft SQL Query Tools 8.2
American Option Prices and the Optimal Exercise Boundary 1.0
File ID: 81260






American Option Prices and the Optimal Exercise Boundary 1.0
Download American Option Prices and the Optimal Exercise Boundary 1.0http://www.mathworks.comReport Error Link
License: Shareware
File Size: 10.0 KB
Downloads: 13
Submit Rating:
American Option Prices and the Optimal Exercise Boundary 1.0 Description
Description: In this demo, the price V of an American option is considered as a
function of the stock value S and time t, i.e. V = V(S,t). The financial
parameters like strike, volatility, etc. (a complete list is given below)
are assumed to be constants. The demo computes the option price for a
range of discrete stock values S(i) and a range of discrete time
values t(j).

The demo also computes the optimal exercise boundary Sf as a function
of time, i.e. Sf = Sf(t). For each discrete time value t(j), the value
Sf(j) is the last (in case of a put) or the first (in case of a call)
contact point with the payoff. This point gives the user the information
whether it is optimal to exercise the option at each discrete point in
time.

The results are visualized in three figures. The first figure is a graph
of the American option price at the initial time. For comparison reasons,
this figure also shows a graph of the corresponding European option
and a graph of the payoff. The second figure displays a surface of the
option price as a function of the stock value and time. Finally, the
third graph displays the optimal exercise boundary.

The demo is executed by running the scritp AmericanOptionDemo.m. This scritp calls the functions AmericanOption.m and FreeBoundary.m

License: Shareware

Related: Comparison, initial, reasons, Shows, Graph, figure, results, visualized

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 13



More Similar Code

auction_match: Compute optimal (maximal) weighted assignment
and the corresponding "lattice of dual prices" supporting the
optimal assignment.
auction_match(disMatrix) computes the optimal assignment for the
given rectangular value matrix, for example the assignment
of bidders (in rows) to objects (in columns) and vice versa.

[assignment,r,p,u,v,value] = ASSIGNMENTOPTIMAL(DISTMATRIX) returns...



A useful tool built to help the user gain an intuitive feel for option pricing and the greeks.

Allows the user to create a portfolio of options (and thus straddles, strangles, butterflies and anything else you fancy can be easily...



SRAT for OSS can assess the reliability and the optimal version-upgrade time of Open Source Software. SRAT for OSS is used several software reliability growth models to assess the reliability of OSS development.



This function uses the auction principle to return the optimal assignment and the dual prices. It performs quite well, and is way faster than the hungarian algorithm as the number of points increases. More details on the auction algorithm can be...



You can input the angles and the axis about which the co-ordiante has to be rotated to visualize the rotation and orientation.

you will have full control of what elements to be shown in screen, like path,plane of rotation,initial...



This is an application of the Greedy Algorithm and the Local Search for finding a solution for the SC Distribution Network problem.
We dealt with one level SC composed of a set of factories and a set of Sales Points, each sales point has a...



American option pricing using CRR method with tree output
Improvement: Programme runs slow as time steps (not recommended for time step>50)



Dirty Forms and The UserData Persistence Behavior with XMLDocument Property is an article through which users can gain knowledge about creating web forms on ASP.NET web pages. The author explains how to check whether the visitor has filled all the...



Downloading any file using ASP, FSO and the ADODB Stream object is an online tutorial in which the author has given a brief note on how to employ the FSO and ADODB objects of ASP in enabling your website visitors to download files from your web...



Web site Administration with ADSI and the .NET DirectoryServices Namespace is a web based tutorial in which author describes about utilizing the System.DirectoryServices namespace classes which can work along with IIS, LDAP etc. With the help of...

User Review for American Option Prices and the Optimal Exercise Boundary
- required fields
     

Please enter text on the image