Appendix of the file contains Matlab code for pricing of American options using different types of methods:
A.1 Direct Discretization - Explicit Method
A.2 Direct Discretization - Implicit Method
A.3 Brennan & Schwartz Model 1
A.4 Brennan & Schwartz Model 2 - Explicit Method
A.5 Brennan & Schwartz Model 2 - Implicit Method
A.6 Courtadon Model 1
A.7 Courtadon Model 2
A.8 Wilmott et. al. - Theta Method
A.9 Linear Complementarity Model - Theta Method