HW1:

function lattice = BinTree(imod,S0,r,q,T,sigma,N)

% Returns Binomial Shrew Price Tree (imod=0 for JR, 1 for
CRR)
deltaT = T/N;
if imod == 0
rnmut=(r-q-0.5*sigma^2)*deltaT;
u=exp(rnmut+sigma*sqrt(deltaT));
d=exp(rnmut-sigma*sqrt(deltaT));
else
u=exp(sigma * sqrt(deltaT));
d=1/u;
end
lattice = ones(N+1,N+1)*S0;
for i=2:N+1
lattice(1,i)= 0;
end
for j=2:1:N+1
for i=1:j-1
lattice(j,i) =u*lattice(j-1,i);
end
lattice(j,j) =d*lattice(j-1,j-1);
for i=j+1:N+1
lattice(j,i) =0;
end
end
imod=0;S0=100;r=0.02;q=0.03;T=1;sigma=0.2;N=9;
lattice = BinTree(imod,S0,r,q,T,sigma,N);
HW2:

function [price, lattice] =

BinOptionValue(imod,S0,X,r,q,T,sigma,N)
deltaT = T/N;
if imod == 0
rnmut=(r-q-0.5*sigma^2)*deltaT;
u=exp(rnmut+sigma*sqrt(deltaT));
d=exp(rnmut-sigma*sqrt(deltaT));
p=0.5;
else
u=exp(sigma * sqrt(deltaT));
d=1/u;
p=(exp((r-q)*deltaT) - d)/(u-d);
end
lattice = zeros(N+1,N+1);
for j=0:N
lattice(N+1,j+1)=max(0 , X-S0*(u^j)*(d^(N-j)) );
end
for i=N-1:-1:0
for j=0:i
lattice(i+1,j+1) = exp(-r*deltaT) * ...
(p * lattice(i+2,j+2) + (1-p) * lattice(i+2,j+1));
end
end
price = lattice(1,1);
[price,
lattice]=BinOptionValue(0,100,100,0.02,0.03,1,0.2,10000);
[Call,Put] =blsprice(100,100,0.02,1,0.2,0.03);