www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceandDeltaofaFloatingLookbackOptionUsingtheExample.m
%% Compute the Price and Delta of a Floating Lookback Option Using the Goldman-Sosin-Gatto Model % Copyright 2015 The MathWorks, Inc. %% % Define the |RateSpec|. StartDates = 'Jan-1-2013'; EndDates = 'Jan-1-2014'; Rates = 0.41; Compounding = -1; RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,... 'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding) %% % Define the |StockSpec| with continuous dividend yield. AssetPrice = 120; Sigma = 0.3; Yield = 0.045; StockSpec = stockspec(Sigma, AssetPrice, 'Continuous', Yield) %% % Define the floating lookback option. Settle = 'Jan-1-2013'; Maturity = 'July-1-2013'; OptSpec = 'call'; Strike = NaN; SMinMax = 100; %% % Compute the price and delta of the European floating lookback option. OutSpec = {'price', 'delta'}; [Price, Delta] = lookbacksensbycvgsg(RateSpec, StockSpec, OptSpec, Strike,... Settle, Maturity,'AssetMinMax', SMinMax, 'OutSpec', OutSpec)