%Example: Note requires the financial toolbox function blsprice
S=50; K=50; sigma=0.4; r=0.1; T=1; steps=200;
a=[]; b=[];
counter=0;
for k=5:5:steps
counter=counter+1;
a(counter)=TreeMy(S,K,sigma,r,T,k);
b(counter)=blsprice(S,K,r,T,sigma);
end
k=5:5:steps;
plot(k,a,'b');
hold on
plot (k,b,':r');
hold off
title('Option price as a function of the number of steps');
ylabel('Option price');
xlabel('Number of steps, n');

Calculates price for Put Options using
implicit finite difference method as described in Hull's book "Options, Futures and other Derivatives" in section 18.8

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

A nice site with lots of example code based on articles including:
An Algorithmic Introduction to Numerical Simulation of Stochastic Differential equations, by D. J. Higham
Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB,

keywods: Euler

This file calculates call option price for following barrier options:

1.cuo - Up and out call
2.cui - Up and In call
3.cdo - Down and Out call
4.cdi - Down and In call

The finite difference methods employed is Crank nicholson

Note:
1.Please also download a required file BlackScholes Price. This file returns price of a vanilla call option, which is necessary to calculate price of knockin option using formula:
Vanilla Option price = KnockinOption price + KnockoutOption price