>> EuroCRR(50,50,.05,1,.3,.01,100,1)
ans =
6.7936
>> ConvergenceCRR(50,50,.05,1,.3,.01,50,1)
% Oscillates above and below.
>> ConvergenceCRREven(50,50,.05,1,.3,.01,50,1)
%Converges smoothly from below.
>> ConvergenceCRROdd(50,50,.05,1,.3,.01,50,1)
% Converges smoothly from above.
>> Binomial(50,47,.05,1,.3,.01,100,1,0,'EQP')
ans =
8.3236
>> Binomial(50,47,.05,1,.3,.01,100,1,0,'TIAN')
ans =
8.3186
>> Binomial(50,47,.05,1,.3,.01,100,1,0,'CRR')
ans =
8.3217
>> Binomial(50,47,.05,1,.3,.01,100,1,0,'LR')
ans =
8.3067
-
Brandimarte, Paolo. Numerical Methods in Finance and Economics: A MATLAB-based Introduction. Hoboken, NJ: Wiley Interscience, 2006. Print.
-
Haug, Espen, Gaarder. The Complete Guide to Option Pricing Formulas. New York, NY: McGraw-Hill, 2006. Print.