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

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

% Copyright 2015 The MathWorks, Inc.


%% 
% Define the |RateSpec|. 
StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2014';
Rates = 0.045;
Compounding = -1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding)  

%% 
% Define the |StockSpec|. 
AssetPrice = 102;
Sigma = 0.45;
StockSpec = stockspec(Sigma, AssetPrice)  

%% 
% Define the fixed lookback options. 
Settle   = 'Jan-1-2013';
Maturity = 'July-1-2013'; 
OptSpec = {'put';'call'};
Strike = [98;101];  

%% 
% Price the European fixed lookback options. 
Price = lookbackbycvgsg(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity)