www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CompoundOptionITTTreeExample.m
%% Price a Compound Option Using an ITT Tree % This example shows how to price a compound option using a ITT tree by loading the file |deriv.mat|, which provides |ITTTree|. The |ITTTree| structure % contains the stock specification and time information needed to price the option. %% % Copyright 2015 The MathWorks, Inc. load deriv.mat UOptSpec = 'Call'; UStrike = 99; USettle = '01-Jan-2006'; UExerciseDates = '01-Jan-2010'; UAmericanOpt = 1; COptSpec = 'Put'; CStrike = 5; CSettle = '01-Jan-2006'; CExerciseDates = '01-Jan-2010'; Price = compoundbyitt(ITTTree, UOptSpec, UStrike, USettle, ... UExerciseDates, UAmericanOpt, COptSpec, CStrike, CSettle, ... CExerciseDates)