www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceandDeltaofaFixedLookbackOptionUsingtheConExample.m

    %% Compute the Price and Delta of a Fixed Lookback Option Using the Conze-Viswanathan Model  

% Copyright 2015 The MathWorks, Inc.


%% 
% Define the |RateSpec|. 
StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2015';
Rates = 0.1;
Compounding = -1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding)  

%% 
% Define the |StockSpec|. 
AssetPrice = 103;
Sigma = 0.30;
StockSpec = stockspec(Sigma, AssetPrice)  

%% 
% Define the fixed lookback option. 
Settle   = 'Jan-1-2013';
Maturity = 'July-1-2013'; 
OptSpec = 'call';
Strike = 99;  

%% 
% Price and delta for the European fixed lookback option. 
OutSpec = {'price', 'delta'};                                 
[Price, Delta] = lookbacksensbyls(RateSpec, StockSpec, OptSpec,...
Strike, Settle, Maturity,'OutSpec', OutSpec)