Conze-Viswanathan and Goldman-Sosin-Gatto Models

Price and sensitivity for European lookback options using the Conze-Viswanathan and Goldman-Sosin-Gatto models

Functions

lookbackbycvgsg Calculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsg Calculate prices and sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models

Concepts

Was this topic helpful?