Publisher review:Put option pricing - Calculation of plain vanilla option price using explicit, implicit and crank nicolson schemes. This set of m-files was done only with didactic purposes in mind, it could be used as a calculator, but its main intention is to show how the price of a plain vanilla put option evolves through time; showing the video of the evolution as well as the 3-D surface. (In case you want speed, just get rid of the videos and don't use the for loop). explicit, implicit and Crank-Nicolson schemes can be compared. Requirements: ยท MATLAB Release: R13
Put option pricing is a Matlab script for Financial Modeling and Analysis scripts design by Wilmer Henao.
It runs on following operating system: Windows / Linux / Mac OS / BSD / Solaris.
Operating system:Windows / Linux / Mac OS / BSD / Solaris