lookbackbycrr
Price lookback option from Cox-Ross-Rubinstein binomial tree
Syntax
Description
prices lookback options using a Cox-Ross-Rubinstein binomial tree.Price
= lookbackbycrr(CRRTree
,OptSpec
,Strike
,Settle
,ExerciseDates
)
Note
Alternatively, you can use the Lookback
object to price lookback options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
adds
an optional argument for Price
= lookbackbycrr(___,AmericanOpt
)AmericanOpt
.
Examples
Input Arguments
Output Arguments
More About
References
[1] Hull J. and A. White. "Efficient Procedures for Valuing European and American Path-Dependent Options." Journal of Derivatives. Fall 1993, pp. 21–31.
Version History
Introduced before R2006aSee Also
crrtree
| instlookback
| Lookback
Topics
- Computing Prices Using CRR
- 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
- Pricing Options Structure
- Supported Equity Derivative Functions
- Mapping Financial Instruments Toolbox Functions for Equity, Commodity, FX Instrument Objects