有限差分方法定价的欧式期权和美式期权的差别，有Matlab程序的另加50大洋。

急，那位高手能给在下讲解一下有限差分方法定价的欧式期权和美式期权的差别，有Matlab程序的另加50大洋。十分感谢！

shu ru fa huai le, bu neng shu zhong wen le

Calls are the same, but Puts are different. American put options pricing is a free boundary problem, and can be done by the PSOR method. Please see
http://maths.dur.ac.uk/Ug/projec ... /PR4_HenryFoote.pdf
,including the matlab code.

Under Crank Nicholson Scheme to price an American option, when you are backwards iterating, you need to compare the expected payoff (don't exercise the option) and instantaneous payoff (exercise the option right now) at each node and choose the larger one.

However, you don't need the comparison in pricing European style option.

I only have a VBA programme.

楼主找到了吗？欧式期权和美式期权的matlab代码区别？可以分享一份给我吗？有偿也行！！

hangli2 发表于 2011-4-29 22:33
Under Crank Nicholson Scheme to price an American option, when you are backwards iterating, you need ...

请问您知道怎么修改代码吗？我找到了欧式期权的代码不知道该怎么改成美式期权的