This program calculates the price of a x-year American-style (put or call) option on a zero-coupon bond that matures at year y with a par value of 1 dollar. There are two files, one for calculating the put and the second one for the call.

1. Inputs: x (year), y (year), r (%) (initial short rate), betta (%) and mu (%), sigma (%) and number of partitions during the option's life n, and strike price X (% of par).
2. Output: Price of the put or the call (depending on the selected file).

The folder Main includes two files:

1. American_zero_coupon_put.m
2. American_zero_coupon_call.m

Just run the file you need for calculating a put or call price.

In MatLab, just run the given files.

Suppose x = 1, y = 2, r = 4(%), betta = 20(%), mu = 4(%), sigma = 10(%), n = 30 and X = 90(%). The price of the put is 0.0167024.

Again, suppose that x = 1, y = 2, r = 4(%), betta = 20(%), mu = 4(%), sigma = 10(%), n = 30 and X = 90(%). The price of a call is 5.87267.