crrprice
Instrument prices from Cox-Ross-Rubinstein tree
Description
[
computes stock option prices using a CRR binomial tree created with Price
,PriceTree
] = crrprice(CRRTree
,InstSet
)crrtree
. All instruments contained in a financial instrument variable,
InstSet
, are priced.
crrprice
handles instrument types: 'Asian'
,
'Barrier'
, 'Compound'
, 'CBond'
,
'Lookback'
, 'OptStock'
. See instadd
to construct defined types.
Examples
Input Arguments
Output Arguments
Version History
Introduced before R2006a