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| R2012a Documentation → Financial Derivatives Toolbox | |
Learn more about Financial Derivatives Toolbox |
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| Contents | Index |
[Price, PriceTree] = crrprice(CRRTree,
InstSet, Options)
CRRTree | Stock price tree structure created by crrtree. |
InstSet | Variable containing a collection of NINST instruments. Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or string for each instrument. For more information about how to create the InstSet structure, see instadd. |
Options | (Optional) Derivatives pricing options structure created with derivset. |
[Price, PriceTree] = crrprice(CRRTree, InstSet, Options) computes stock option prices using a CRR binomial tree created with crrtree.
Price is a number of instruments (NINST)-by-1 vector of prices for each instrument. The prices are computed by backward dynamic programming on the stock tree. If an instrument cannot be priced, NaN is returned.
PriceTree is a MATLAB structure of trees containing vectors of instrument prices and a vector of observation times for each node.
PriceTree.PTree contains the prices.
PriceTree.tObs contains the observation times.
PriceTree.dObs contains the observation dates.
crrprice handles instrument types: 'Asian', 'Barrier', 'Compound', 'Lookback', 'OptStock'. See instadd to construct defined types.
Related single-type pricing functions are:
asianbycrr: Price an Asian option from a CRR tree.
barrierbycrr: Price a barrier option from a CRR tree.
compoundbycrr: Price a compound option from a CRR tree.
lookbackbycrr: Price a lookback option from a CRR tree.
optstockbycrr: Price an American, Bermuda, or European option from a CRR tree.
Load the CRR tree and instruments from the data file deriv.mat. Price the barrier and lookback options contained in the instrument set.
load deriv.mat;
CRRSubSet = instselect(CRRInstSet,'Type', ...
{'Barrier', 'Lookback'});
instdisp(CRRSubSet)
%Table of instrument portfolio partially displayed:
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt BarrierSpec ...
1 Barrier call 105 01-Jan-2003 01-Jan-2006 1 ui ...
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt Name Quantity
2 Lookback call 115 01-Jan-2003 01-Jan-2006 0 Lookback1 7
3 Lookback call 115 01-Jan-2003 01-Jan-2007 0 Lookback2 9
[Price, PriceTree] = crrprice(CRRTree, CRRSubSet)
Price =
12.1272
7.6015
11.7772
PriceTree =
FinObj: 'BinPriceTree'
PTree: {1x5 cell}
tObs: [0 1 2 3 4]
dObs: [731582 731947 732313 732678 733043]
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You can use treeviewer to see the prices of these three instruments along the price tree.
treeviewer(PriceTree, CRRSubSet)
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