Conze-Viswanathan and Goldman-Sosin-Gatto Models

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

Functions

lookbackbycvgsgCalculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsgCalculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models

Examples and How To

Pricing Asian Options

This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.