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American Option Prices and the Optimal Exercise Boundary 1.0

  Date Added: June 12, 2013  |  Visits: 202

American Option Prices and the Optimal Exercise Boundary

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In this demo, the price V of an American option is considered as afunction of the stock value S and time t, i.e. V = V(S,t). The financialparameters like strike, volatility, etc. (a complete list is given below)are assumed to be constants. The demo computes the option price for arange of discrete stock values S(i) and a range of discrete timevalues t(j).The demo also computes the optimal exercise boundary Sf as a functionof time, i.e. Sf = Sf(t). For each discrete time value t(j), the valueSf(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 informationwhether it is optimal to exercise the option at each discrete point intime.The results are visualized in three figures. The first figure is a graphof the American option price at the initial time. For comparison reasons,this figure also shows a graph of the corresponding European optionand a graph of the payoff. The second figure displays a surface of theoption price as a function of the stock value and time. Finally, thethird graph displays the optimal exercise boundary.The demo is executed by running the scritp AmericanOptionDemo.m. This scritp calls the functions AmericanOption.m and FreeBoundary.m

Requirements: No special requirements
Platforms: Matlab
Keyword: Comparison Figure Graph Initial Reasons Results Shows Visualized
Users rating: 0/10

License: Shareware Size: 10 KB
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