Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Implied Trinomial Tree Analysis

Price and analyze implied trinomial equity instrument

Functions

asianbyitt Price Asian options using implied trinomial tree (ITT)
barrierbyitt Price barrier options using implied trinomial tree (ITT)
compoundbyitt Price compound options using implied trinomial tree (ITT)
ittprice Price instruments using implied trinomial tree (ITT)
ittsens Instrument sensitivities and prices using implied trinomial tree (ITT)
lookbackbyitt Price lookback option using implied trinomial tree (ITT)
optstockbyitt Price options on stocks using implied trinomial tree (ITT)
derivget Get derivatives pricing options
derivset Set or modify derivatives pricing options

Topics

Pricing Equity Derivatives Using Trees

Pricing functions calculate the price of any set of supported instruments based on a binary equity price tree, an implied trinomial price tree, or a standard trinomial tree.

Computing Equity Instrument Sensitivities

The delta, gamma, and vega sensitivities that the toolbox computes are dollar sensitivities.

Graphical Representation of Equity Derivative Trees

Use the function treeviewer to display a graphical representation of a tree.

Pricing Options Structure

The MATLAB® Options structure provides additional input to most pricing functions.

Was this topic helpful?