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

    %% Compute the Price for a Floating Lookback Option Using Monte Carlo Simulation  

% Copyright 2015 The MathWorks, Inc.


%% 
% Define the |RateSpec|. 
StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2014';
Rates = 0.042;
Compounding = -1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates, 'Compounding', Compounding)  

%% 
% Define the |StockSpec|. 
AssetPrice = 50;
Sigma = 0.36;
StockSpec = stockspec(Sigma, AssetPrice)  

%% 
% Define the floating lookback option. 
Settle   = 'Jan-1-2013';
Maturity = 'April-1-2013'; 
OptSpec = 'put';
Strike = NaN;  

%% 
% Compute the price of the European floating lookback option. 
Price = lookbackbyls(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity)