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Calculate prices and sensitivities of lookback options using Longstaff-Schwartz model
[PriceSens,Paths,Times,Z]
= lookbacksensbyls(RateSpec,StockSpec,OptSpec,Strike,Settle,
ExerciseDates) returns prices
and sensitivities of lookback options using the Longstaff-Schwartz
model for Monte Carlo simulations. lookbacksensbyls computes
prices of European and American lookback options. For American options,
the Longstaff-Schwartz least squares method calculates the early exercise
premium. lookbacksensbyls calculates values of
fixed- and floating-strike lookback options. To compute the value
of a floating-strike lookback option, Strike must
be specified as NaN.
[PriceSens,Paths,Times,Z] = lookbacksensbyls(___,Name,Value) returns prices and sensitivities of lookback options using the Longstaff-Schwartz model for Monte Carlo simulations with optional name-value pair arguments. lookbacksensbyls computes prices of European and American lookback options. For American options, the Longstaff-Schwartz least squares method calculates the early exercise premium. lookbacksensbyls calculates values of fixed- and floating-strike lookback options. To compute the value of a floating-strike lookback option, Strike must be specified as NaN.
Hull, J. C. Options, Futures, and Other Derivatives, 5th ed. Englewood Cliffs, NJ: Prentice Hall, 2002.
intenvset | lookbackbycvgsg | lookbackbyls | lookbacksensbycvgsg | stockspec