American put option pricing

CRR method with tree output

Version 1.0.0.0 (3.95 KB)
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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 (2026). American put option pricing (https://au.mathworks.com/matlabcentral/fileexchange/36079-american-put-option-pricing), MATLAB Central File Exchange. Retrieved .

Acknowledgements

Inspired by: Pricing American Options

Categories

Find more on Financial Toolbox in Help Center and MATLAB Answers

General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.0.0.0