Leisen-Reimer Tree Analysis
The Leisen-Reimer model uses a recombining tree structure, which means that the tree can be simplified, allowing multiple paths to lead to the same node. Price and analyze equity option instruments using a LR tree model with the following functions:
Functions
optstockbylr | Price options on stocks using Leisen-Reimer binomial tree model |
optstocksensbylr | Determine option prices or sensitivities using Leisen-Reimer binomial tree model |
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.
- Pricing European Call Options Using Different Equity Models
This example illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.
- Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to use
treeviewerto examine tree information for a Hull-White tree when you price a European callable bond. - Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
