American monte carlo in matlab

The following Matlab project contains the source code and Matlab examples used for american monte carlo. Illustration of the methods from Chapter 8 of Financial Modelling by Joerg Kienitz and Daniel Wetterau. We cover Monte Carlo pricing of American and Bermudan style derivatives using Longstaff-Schwartz, Upper Bounds, Broadie and Policy Iteration methods.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
asian_bintree.m 1576
barrier_bintree.m 1845
BinTree_A.m 1166
BinTree_CP.m 1887
BinTree_KI.m 1215
BlackScholesPrice.m 1308
callpayoff.m 874
callput_bintree.m 1394
createbintree.m 1327
getPaths.m 1413
getPathsAsian.m 1494
knockinpayoff.m 1295
knockIn_indikator.m 2973
LongstaffSchwartz.m 1891
LongstaffSchwartz_2.m 1778
LongstaffSchwartz_M.m 2119
LongstaffSchwartz_M2.m 1933
PIter_E.m 4211
PIter_R.m 5138
putpayoff.m 878
RegCoeff.m 1618
RegCoeff_M.m 1695
TestLongstaffSchwarz.m 3140
TestLongstaffSchwarz_exotic.m 2546
TestTrees.m 1556
UpperBound1.m 3437
UpperBound2.m 3485
UpperBound3.m 4047
license.txt 1329

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