For information on the stock specification, see stockspec stockspec can handle other types of underlying assets. Fixed lookback options have a specified strike price, while floating lookback options have a strike price determined by the asset path. For a european option, use aninstby1 matrix of the compound exercise dates. For each instrument, the option can be exercised on any tree date between or including the pair of dates. For pricing options on a trinomial tree we need to generate 3 separate quantities the transition probabilities of various share price movements. Similarly in a trinomial tree, each node leads to three other nodes in the next time step. Price barrier options using implied trinomial tree itt. This function generates swaption prices under the hullwhite trinomial tree model. For a european option, there is only one exercisedates on the option expiry date for an american option, use a ninstby2 vector of the compound exercise date boundaries. Price options on stocks using implied trinomial tree itt. For a european option, use aninstby1 matrix of exercise dates.

For an american option, use a ninstby1 of strike prices. This matlab function returns the price of a european, bermuda, or american stock option from an implied trinomial tree itt. Price lookback options using standard trinomial tree. This matlab function prices lookback options using a standard trinomial stt tree. Price barrier options using standard trinomial tree.

Swaption pricing function under the hullwhite lattice model. For a bermuda option, use a ninstbynstrikes vector of dates. Pricing functions calculate the price of any set of supported instruments based on a binary equity price tree, an implied trinomial price tree, or. This matlab function price instruments using an implied trinomial tree itt. For each instrument, the option can be exercised on any date between or including the pair of dates. For a european option, use a ninstby1 matrix of dates. This matlab function prices compound options using a standard trinomial stt tree. Lattice methodsrecombining tree methods for option pricing. For an american option, use a ninstby2 vector of exercise date boundaries.

For a european option, there is only one exercisedates on the option expiry date which is the maturity of the instrument. For a bermuda option, use aninstbynstrikes matrix of strike prices. If an option has fewer than nstrikes exercise opportunities, the end of the row is padded with nans. The option can be exercised on any tree date between or including the pair of dates on that row. Price lookback options using standard trinomial tree matlab. The option can be exercised on any date between or including the pair of dates on. Price compound options using standard trinomial tree. Besides having up and down states, the middle node of the trinomial tree indicates no change in state.

Price options on stocks using implied trinomial tree itt matlab. Price vanilla options on stocks using standard trinomial tree. When extended over more than two time steps, the trinomial tree can be thought of as a recombining tree, where the middle nodes always retain the same. A lookback option is a pathdependent option based on the maximum or minimum value the underlying asset achieves during the entire life of the option financial instruments toolbox software supports two types of lookback options. Price and analyze standard trinomial equity instrument.

Price instruments using standard trinomial tree matlab sttprice. For example, stocks, stock indices, and commodities. Price barrier options using standard trinomial tree matlab. Trinomial trees in options pricing mastering python for. This matlab function prices asian options using a standard trinomial stt tree. Price instruments using implied trinomial tree itt matlab ittprice. Price compound options using standard trinomial tree matlab. Stock specification for underlying asset, specified using stockspec obtained from stockspec. For a european option, use a ninstby1 vector of strike prices. This matlab function calculates prices for barrier options using implied trinomial tree itt.

The package implements the following binomial and trinomial tree methods for pricing an european call and put option. Lattice methods for option pricing file exchange matlab central. Trinomial tree swaption pricing file exchange matlab. Pricing functions calculate the price of any set of supported instruments based on a binary equity price tree, an implied trinomial price tree, or a standard trinomial tree. Price asian options using standard trinomial tree matlab.

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