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

    %% Compute the Price 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 = 0.042;
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 options.  
Settle   = 'Jan-1-2013';
Maturity = 'April-1-2013'; 
OptSpec = {'put';'call'};
Strike = NaN;  

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