Calculates price of European/American spread call option using Three dimensional binomial tree.
The implemenation procedure for binomial tree are referred from the paper
The Valuation of Inflation-Indexed and FX Convertible Bonds

Just happened to come across this link, thought it will be useful example code for pricing barrier options and using variance reduction techniques
I can't find his name, only his ID is there

This code calculates call option price using monte carlo simulation

This file contains code for getting option pricein VG model , based on method as described in paper Valuing American Options by simulation : A Simple Least-Squares Approach by Longstaff & Schwartz

Results are compared to values as mentioned in table 2 of paper Pricing American Options Under Variance Gamma by Hirsa and Madan

Backus/Dec 16, 98

This executable contains Matlab and related files to generate tables and figures for Backus, Foresi, and Telmer, "Discrete-time models of bond pricing." The paper will be published in a volume edited by Bruce Tuckman. Working paper versions are available on the NBER Web site (http://www.nber.org) and my own site (http://www.stern.nyu.edu/~dbackus).I welcome comments of all types.

On the files: most of the main file, tuck.m, should run on pretty much any Matlab installation. The exceptions are the 2-factor model, which uses routines from Matlab's optimization toolbox. Our experience has been that these routines change often enough that they are relatively fragile. But good luck!