checkls.m

Numerical Methods In_Finance And Economics Matlab Source Code

% CheckLS.m
S0 = 50; K = 50; r = 0.05;
sigma = 0.4; T = 1; NSteps = 50;
NRepl = 10000;
randn('state',0)
fhandles = {@(x)ones(length(x),1), @(x)x, @(x)x.^2};
priceLS = GenericLS(S0,K,r,T,sigma,NSteps,NRepl,fhandles)
[LatS, LatPrice]=binprice(S0,K,r,T,T/NSteps,sigma,0);
priceBIN = LatPrice(1,1)