Price lookback option from Equal Probabilities binomial tree
[Price, PriceTree] = lookbackbyeqp(EQPTree, OptSpec, Strike,
Settle, ExerciseDates, AmericanOpt)
Stock tree structure created by
Number of instruments (
For a European option (
For an American option (
Price = lookbackbyeqp(EQPTree, OptSpec, Strike, ExerciseDates,
AmericanOpt) calculates the value of fixed- and floating-strike
lookback options. Data arguments are
scalar, or empty. Fill in unspecified entries vectors with
Only one data argument is required to create the instrument. The others
may be omitted or passed as empty matrices
Price is a
of expected option prices at time 0.
This example shows how to price a lookback option using an EQP equity tree by loading the file
deriv.mat, which provides
EQPTree structure contains the stock specification and time information needed to price the option.
load deriv.mat OptSpec = 'Call'; Strike = 115; Settle = '01-Jan-2003'; ExerciseDates = '01-Jan-2006'; Price = lookbackbyeqp(EQPTree, OptSpec, Strike, Settle, ... ExerciseDates)
Price = 8.7941
Hull, J., and A. White, "Efficient Procedures for Valuing European and American Path-Dependent Options," Journal of Derivatives, Fall 1993, pp. 21-31.