Trinomial tree option pricing matlab download

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 for an american option, use a ninstby2 vector of the compound exercise date boundaries. Price asian options using standard trinomial tree matlab. Price options on stocks using implied trinomial tree itt matlab. Besides having up and down states, the middle node of the trinomial tree indicates no change in state. 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 and analyze standard trinomial equity instrument. This matlab function prices compound options using a standard trinomial stt tree. Price vanilla options on stocks using standard trinomial tree. This matlab function returns the price of a european, bermuda, or american stock option from an implied trinomial tree itt. This function generates swaption prices under the hullwhite trinomial tree model. This matlab function calculates prices for barrier options using implied trinomial tree itt. Trinomial trees in options pricing mastering python for. This matlab function returns vanilla option american, european, or bermudan prices on stocks using a standard trinomial stt tree.

Pricing functions calculate the price of any set of supported instruments based on a binary equity price tree, an implied trinomial price tree, or. For a european option, use aninstby1 matrix of the compound exercise dates. Price options on stocks using implied trinomial tree itt. Stock specification for underlying asset, specified using stockspec obtained from stockspec. For a bermuda option, use a ninstbynstrikes vector of dates. 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 barrier options using implied trinomial tree itt. This matlab function prices lookback options using a standard trinomial stt tree.

Price lookback options using standard trinomial tree. For a european option, there is only one exercisedates on the option expiry date 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. Lattice methods for option pricing file exchange matlab central. Price instruments using implied trinomial tree itt matlab ittprice. For a bermuda option, use aninstbynstrikes matrix of strike prices. This matlab function prices asian options using a standard trinomial stt tree. For each instrument, the option can be exercised on any tree date between or including the pair of dates. 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 each instrument, the option can be exercised on any date between or including the pair of dates. This done, one of the layers of the trinomial tree coincides with the barrier. For an american option, use a ninstby1 of strike prices. Price barrier options using standard trinomial tree matlab.

If an option has fewer than nstrikes exercise opportunities, the end of the row is padded with nans. 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. Swaption pricing function under the hullwhite lattice model. Price compound options using standard trinomial tree matlab.

The package implements the following binomial and trinomial tree methods for pricing an european call and put option. For a european option, there is only one exercisedates on the option expiry date. For a european option, use aninstby1 matrix of exercise dates. Price compound options using standard trinomial tree. Price lookback options using standard trinomial tree matlab. Lattice methodsrecombining tree methods for option pricing. The option can be exercised on any date between or including the pair of dates on.