This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Click here to see
To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

Conze-Viswanathan and Goldman-Sosin-Gatto Models

Price and sensitivity for European lookback options using the Conze-Viswanathan and Goldman-Sosin-Gatto models

Functions

lookbackbycvgsgCalculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsgCalculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models

Examples and How To

Pricing Asian Options

This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.