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American put option pricing

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CRR method with tree output
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

Free download from Shareware Connection - CRR method with tree output

Publisher: Steve | License: Shareware
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 25-06-2013 | Rating: 0 | Title: American put option pricing

Author Url: http://drupal.org
Program Info Url: http://drupal.org
Download Url: http://www.mathworks.com/matlabcentral/fx_files/36079/1/test.zip

More downloads from American put option pricing publisher Steve:

American option pricing - American option pricing using CRR method with tree output

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Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. - This computes an approximation of American Put option value and can plot it against asset's price

American option pricing - American option pricing using CRR method with tree output

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