Folks - I have attached the BAW American option pricing approximation model in Matlab code.

If anyone else has a BAW implementation that they can use to test against my implementation for accuracy I would greatly appreciate it. If there are any errors please feel free to bring them to my attention so that I can correct and re-distribute.

Hope this helps!!!

Compute the price of a Quanto option using the formula from Haug's book

An implementation of an algorithm
proposed in the paper
P.Glasserman, S.Suchintabandid, "Correlation expansions for CDO pricing", J. Bank Finance (2007) 31, 5, 1375-1398.

Calculates American/European Asian option prices using Least Squares Monte Carlo approach(LSM).
Based on paper Valuing American Options By simulation : a simple least squares approach by Longstaff & Schwartz

Results can be compared to values mentioned Table 3 of the paper.

Results do not perfectly match the values in the table , but somewhat though!
eg., using currently set parameters when I run the file in Octave I get these values:
Monte Carlo European option price =8.13
Monte Carlo American option price =8.57

While values mentioned in table 3 of the paper are:
Monte Carlo European option price =8.151
Monte Carlo American option price =8.658