complatticebls.m

Matlab codes for financial models

% CompLatticeBLS.m
S0 = 50;
X = 50;
r = 0.1;
sigma = 0.4;
T = 5/12;
N=50;
BlsC = blsprice(S0,X,r,T,sigma);
LatticeC = zeros(1,N);
for i=(1:N)
   LatticeC(i) = LatticeEurCall(S0,X,r,T,sigma,i);
end
plot(1:N, ones(1,N)*BlsC);
hold on;
plot(1:N, LatticeC);