This demo computes American option prices and the corresponding optimal exercise boundary.

American Option Prices and the Optimal Exercise Boundary - File Exchange - MATLAB Central

Updated 01 Sep Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met:.

In this demo, the price V of an American option is considered as a function of the stock value S and time t, i.

The financial parameters like strike, volatility, etc. The demo computes the option price for a range of discrete stock values S i and a range of discrete time values t j.

The demo also computes the optimal exercise boundary Sf as a function of time, i. For each discrete time value t j , the value Sf j is the last in case of a put or the first in case of a call contact point with the payoff. This point gives the user the information whether it is optimal to exercise the option at each discrete point in time. The results are visualized in three figures.

The first figure is a graph of the American option price at the initial time. For comparison reasons, this figure also shows a graph of the corresponding European option and a graph of the payoff. The second figure displays a surface of the option price as a function of the stock value and time. Finally, the third graph displays the optimal exercise boundary. The demo is executed by running the scritp AmericanOptionDemo. This scritp calls the functions AmericanOption.

Optimal exercise boundary for an American put option: Applied Mathematical Finance: Vol 5, No 2

Choose your country to get translated content where available and see local events and offers. Based on your location, we recommend that you select: MathWorks is the leading developer of mathematical computing software for engineers and scientists. Log In Products Solutions Academia Support Community Events Contact Us How to Buy.

Contact Us How to Buy Log In. Products Solutions Academia Support Community Events.

On the optimal exercise boundary for an American put option

MATLAB Central Community Home MATLAB Answers File Exchange Cody Blogs Newsreader Link Exchange ThingSpeak Files Authors Tags Comments My File Exchange Submit About. American Option Prices and the Optimal Exercise Boundary version 1. Copyright c , The MathWorks, Inc. Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met: Comments and Ratings 4. Peihao Zhang Peihao Zhang view profile. Tiffany Valentiny Tiffany Valentiny view profile.

Yingying Yingying view profile. Updates 1 Sep 1. MATLAB Release MATLAB 7.

Tags Add Tags american option companion software exercise boundary mathematics. Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB. Select Your Country Choose your country to get translated content where available and see local events and offers.

Americas Canada English United States English. Explore Products MATLAB Simulink Student Software Hardware Support File Exchange. Try or Buy Downloads Trial Software Contact Sales Pricing and Licensing.

Learn to Use Documentation Tutorials Examples Videos and Webinars Training. Get Support Installation Help Answers Consulting License Center. About MathWorks Careers Newsroom Social Mission About MathWorks.

MathWorks Accelerating the pace of engineering and science MathWorks is the leading developer of mathematical computing software for engineers and scientists.