www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceLookbackCRRBinomialTreeExample.m
%% Price a Lookback Option Using a CRR Binomial Tree % This example shows how to price a lookback option using a CRR binomial % tree by loading the file |deriv.mat|, which provides |CRRTree|. % The |CRRTree| structure contains the stock specification and time % information needed to price the option. %% % Copyright 2015 The MathWorks, Inc. load deriv.mat; OptSpec = 'Call'; Strike = 115; Settle = '01-Jan-2003'; ExerciseDates = '01-Jan-2006'; Price = lookbackbycrr(CRRTree, OptSpec, Strike, Settle, ... ExerciseDates)