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)