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

    %% Price a Lookback Option Using an ITT Equity Tree
% This example shows how to price a lookback option using an ITT equity
% tree by loading the file |deriv.mat|, which provides the |ITTTree|.
% The |ITTTree| structure contains the stock specification
% and time information needed to price the option.
%%

% Copyright 2015 The MathWorks, Inc.

load deriv.mat

OptSpec = 'Call';
Strike = 85;
Settle = '01-Jan-2006';
ExerciseDates = '01-Jan-2008';

Price = lookbackbyitt(ITTTree, OptSpec, Strike, Settle, ExerciseDates)