ittsens
Instrument sensitivities and prices using implied trinomial tree (ITT)
Syntax
Description
[
calculates instrument sensitivities and prices using an implied trinomial tree (ITT) that is
created with the Delta
,Gamma
,Vega
,Price
] = ittsens(ITTTree
,InstSet
)itttree
function. All sensitivities are returned
as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective
instrument price.
ittsens
handles the following instrument types: optstock, barrier,
Asian, lookback, and compound. Use instadd
to construct the defined types.
Examples
Input Arguments
Output Arguments
References
[1] Chriss, Neil. Black-Scholes and Beyond: Option Pricing Models. McGraw-Hill, 1996, pp 308-312.
Version History
Introduced in R2007a