Lookback option binomial tree example
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Price lookback option from Equal Probabilities binomial tree - MATLAB lookbackbyeqp - MathWorks 日本
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Price lookback option from Equal Probabilities binomial tree - MATLAB lookbackbyeqp - MathWorks France
This example shows how to price a lookback option using an EQP equity tree by loading the file deriv. The EQPTree structure contains the stock specification and time information needed to price the option.
Stock tree structure for an Equal Probabilities binomial tree, specified by using eqptree. Definition of option, specified as 'call' or 'put' using a character vector or a NINST -by- 1 cell array of character vectors for 'call' or 'put'. Option strike price value, specified with a nonnegative integer using a NINST -by- 1 matrix of strike price values. Each row is the schedule for one option. To compute the value of a floating-strike lookback option, Strike must be specified as NaN.
Floating-strike lookback options are also known as average strike options. Settlement date or trade date for the lookback option, specified as a NINST -by- 1 matrix of settlement or trade dates using serial date numbers or date character vectors.
The Settle date for every lookback option is set to the ValuationDate of the stock tree. The lookback argument, Settle , is ignored. For a European option, use a NINST -by- 1 matrix of exercise dates. For a European option, there is only one ExerciseDates on the option expiry date. For an American option, use a NINST -by- 2 vector of exercise date boundaries.
The option can be exercised on any tree date between or including the pair of dates on that row.
If only one non- NaN date is listed, or if ExerciseDates is a NINST -by- 1 vector of serial date numbers or cell array of character vectors, the option can be exercised between ValuationDate of the stock tree and the single listed ExerciseDates.
Optional Option type, specified as NINST -by- 1 integer flags with values:. Expected prices for lookback options at time 0, returned as a NINST -by- 1 vector. Pricing of lookback options is done using Hull-White Therefore, for these options there are no unique prices on the tree nodes except for the root node. Run the command by entering it in the MATLAB Command Window.
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Examples collapse all Price a Lookback Option Using an EQP Equity Tree. Input Arguments collapse all EQPTree — Stock tree structure structure.
OptSpec — Definition of option character vector with value 'call' or 'put' cell array of character vectors with values 'call' or 'put'. Strike — Option strike price value matrix of nonnegative integers.
Settle — Settlement date or trade date serial date number date character vector. ExerciseDates — Option exercise dates serial date number date character vector.
Option exercise dates, specified as a serial date number or date character vector: AmericanOpt — Option type 0 European default integer with values 0 or 1. Optional Option type, specified as NINST -by- 1 integer flags with values: Output Arguments collapse all Price — Expected prices for lookback options at time 0 vector.
See Also eqptree instlookback Topics Computing Prices Using EQP Examining Output from the Pricing Functions Computing Equity Instrument Sensitivities Graphical Representation of Equity Derivative Trees Pricing European Call Options Using Different Equity Models Lookback Option Computing Instrument Prices Supported Equity Derivatives. You clicked a link that corresponds to this MATLAB command: Was this topic helpful? Select Your Country Choose your country to get translated content where available and see local events and offers.
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