Calculates price for American/European option using Explicit scheme Finite Difference Method

Based on paper Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
Calculates asian option price by terminal stratification of gamma and normal distribution and doing gamma bridge/brownian bridge.
Also demonstrates graphs of impact by stratification.

Based on paper CLOSED FORM VALUATION OF AMERICAN OPTIONS
Calculates American option price lower bound
eg. usage :
BjerkPrice(CallPutFlag,S,K,r,dividend,sigma,T)

This file contains function BlackScholesPrice, which takes one array of parameter value at a time, while the rest of the parameters are variable values.
eg., to get greeks for price range from S=100 to S=15,use:
S=100:1:105;
CallPutFlag='c'; %call option
X=100; %strike
T=1; %Time duration
r=0.05; %risk free rate
v=0.2; %volatility
[price,delta,gamma,vega,theta]=BlackScholesPrice(CallPutFlag,S,X,T,r,v)

Returned values will be vectors, and easy to use for plots:
eg.,
plot(S,delta);

Calculates option price of american/european using CRR binomial tree. Based on paper Option Pricing: A Simplified Approach



Needs the following files for comparing results:
Bjerksund american option price approximation

Black Scholes Price