Data

For first tests, you may also use the following data:

daily quotes of share prices: quotes (real numbers: time, price)

Dow data: Dow (Dow - Download)

DAX-data: DAX (DAX - Download)

data to calculate implied volatility (smile): quotes (real numbers: strike, call value, interest, time period, price)

data of zero-coupon bonds: date 11 May 2004 (source: Deutsche Börse) quotes (maturity and price)

Benchmark values

For comparison, plain-vanilla put values (American style) have been calculated with about 7 decimal digits. These values are provided by two files, one for dividend rate 0 download, and one for dividend rate 0.1 download. Each set of examples comprises 60 options.