GitHub - alexTsaptsinos/Options-Dissertation-Matlab: Matlab code for pricing American & Game options via the Duality method.

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Matlab code for pricing American & Game options via the Duality method.

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Name		Name	Last commit message	Last commit date
Latest commit History 6 Commits
.ignore		.ignore
American Options		American Options
AmericanOptionDemo		AmericanOptionDemo
ABLSMVRfewruns.m		ABLSMVRfewruns.m
BSput.m		BSput.m
Hermite.m		Hermite.m
LSMfewruns.m		LSMfewruns.m
LSMregressioncoefficients.m		LSMregressioncoefficients.m
LSMregressioncoefficientsAntithetic.m		LSMregressioncoefficientsAntithetic.m
LSMregressioncoefficientsOld.m		LSMregressioncoefficientsOld.m
Laguerre.m		Laguerre.m
beta80.mat		beta80.mat
choicePolynomials.m		choicePolynomials.m
crop_borders.m		crop_borders.m
europeanCallMC.m		europeanCallMC.m
export_fig.m		export_fig.m
gameFewRuns.m		gameFewRuns.m
gameOptionBounds.m		gameOptionBounds.m
gameOptionBoundsPath.m		gameOptionBoundsPath.m
gameOptionCoefficients.m		gameOptionCoefficients.m
gameOptionDoubleDual.m		gameOptionDoubleDual.m
gameOptionDualDual.m		gameOptionDualDual.m
gameOptionKuhn.m		gameOptionKuhn.m
gameOptionLSM.m		gameOptionLSM.m
gameOptionLowerBound.m		gameOptionLowerBound.m
gameOptionMartingale.m		gameOptionMartingale.m
gameOptionMartingaleEuropean.m		gameOptionMartingaleEuropean.m
gameOptionUpperBound.m		gameOptionUpperBound.m
gameTimeSteps.m		gameTimeSteps.m
gameboundsd100e.eps		gameboundsd100e.eps
gameboundsd110e.eps		gameboundsd110e.eps
gameboundsd120e.eps		gameboundsd120e.eps
gameboundsd120e2.eps		gameboundsd120e2.eps
gameboundsd80e.eps		gameboundsd80e.eps
gameboundsd90e.eps		gameboundsd90e.eps
gamed100e.eps		gamed100e.eps
gamed110e.eps		gamed110e.eps
gamed120e.eps		gamed120e.eps
gamed80e.eps		gamed80e.eps
gamed90e.eps		gamed90e.eps
gamepathwiseboundsd100e.eps		gamepathwiseboundsd100e.eps
gamepathwiseboundsd100echanged.eps		gamepathwiseboundsd100echanged.eps
gamepathwiseboundsd110e.eps		gamepathwiseboundsd110e.eps
gamepathwiseboundsd120e.eps		gamepathwiseboundsd120e.eps
gamepathwiseboundsd80e.eps		gamepathwiseboundsd80e.eps
gamepathwiseboundsd90e.eps		gamepathwiseboundsd90e.eps
gamepathwised100e.eps		gamepathwised100e.eps
gamepathwised110e.eps		gamepathwised110e.eps
gamepathwised120e.eps		gamepathwised120e.eps
gamepathwised80e.eps		gamepathwised80e.eps
gamepathwised90e.eps		gamepathwised90e.eps
generateBasisFunctions.m		generateBasisFunctions.m
generateChoiceFunctions.m		generateChoiceFunctions.m
ghostscript.m		ghostscript.m
graphScript.m		graphScript.m
pdf2eps.m		pdf2eps.m
pdftops.m		pdftops.m
print2array.m		print2array.m
print2eps.m		print2eps.m
regressionLowerBound.m		regressionLowerBound.m
samplePath.m		samplePath.m
singleAmericanAB2.m		singleAmericanAB2.m
singleAmericanAB3.m		singleAmericanAB3.m
singleAmericanAB4.m		singleAmericanAB4.m
singleAmericanABAntithetic.m		singleAmericanABAntithetic.m
singleAmericanAndersonBroadie.m		singleAmericanAndersonBroadie.m
singleAmericanBBS.m		singleAmericanBBS.m
singleAmericanBoundaryDistance.m		singleAmericanBoundaryDistance.m
singleAmericanLSMAntithetic.m		singleAmericanLSMAntithetic.m
singleAmericanLongstaffSchwartz.m		singleAmericanLongstaffSchwartz.m
singleAmericanPutFDM.m		singleAmericanPutFDM.m
singleAmericanPutKaughHoganCopiede.m		singleAmericanPutKaughHoganCopiede.m
singleAmericanRogers.m		singleAmericanRogers.m
user_string.m		user_string.m
using_hg2.m		using_hg2.m