Does anybody know a nice site with sources of matlab code for financial calculations.

<r>hi kryste,the best place you can get information about monte carlo and various reduction techniques is on Martin Haugh's homepage. He has pastedhis lecture notes about simulation. they are excellent . in fact this is the link <URL url="http://www.columbia.edu/~mh2078/MCSspring03/enjoy">http://www...

hi val, am trying to solve the same problem using simulation. could you sendme your code? cheers.

am not sure but can you tell me the model

what type of model are you using? can you give me details of your code and show me where you using the function fminsearch in your code

your code looks fine but am not sure whether it is doing the job properly. tell me what kind of values you get when you compute s0. take s0 to be 100

what is it that you want to price? can you explain the problem more in detail?

what is mallivian about. are you implementing it in matlab?

i have found a web related to this. they are using java, a language i don't understand. the webpage is martingale.berlios.deis there anybody who could tell what they are doing?

I am referring to the paper of Haugh and Kogan entitlted 'Pricing american option: A duality approach'.Basically, they are using a technique which allows them to get an upper bound for the price of the american option.

does anybody know a webpage where i can get a matlab implementation of Haugh and kogan dual pricing of american option?