www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceBermudanStockOptionUsingaEQPEquityTreeExample.m
%% Price a Bermudan Stock Option Using a EQP Equity Tree % Copyright 2015 The MathWorks, Inc. %% % Load the file |deriv.mat|, which provides |EQPTree|. The |EQPTree| structure % contains the stock specification and time information needed to price % the Bermudan option. load deriv.mat; % Option OptSpec = 'Call'; Strike = 105; Settle = '01-Jan-2003'; ExerciseDatesBerm={'15-Jan-2004','15-Jul-2004','15-Jan-2005','15-Jul-2005'}; %% % Price the Bermudan option. Price= optstockbyeqp(EQPTree, OptSpec, Strike, Settle, ExerciseDatesBerm)