Implied Trinomial Tree Analysis
The implied trinomial tree (ITT) model is a framework for pricing equity options that extends the traditional binomial tree model by incorporating a trinomial structure. This model allows for three possible price movements at each node in the tree: an upward movement, a downward movement, and a stay-at-the-same price movement. Price and analyze equity option instruments using an ITT tree model with the following functions:
Functions
asianbyitt | Price Asian options using implied trinomial tree (ITT) |
barrierbyitt | Price barrier options using implied trinomial tree (ITT) |
compoundbyitt | Price compound option from implied trinomial tree (ITT) |
ittprice | Price instruments using implied trinomial tree (ITT) |
ittsens | Instrument sensitivities and prices using implied trinomial tree (ITT) |
lookbackbyitt | Price lookback option using implied trinomial tree (ITT) |
optstockbyitt | Price options on stocks using implied trinomial tree (ITT) |
derivget | Get derivatives pricing options |
derivset | Set or modify derivatives pricing options |
Topics
- Pricing Equity Derivatives Using Trees
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.
- Computing Equity Instrument Sensitivities
The delta, gamma, and vega sensitivities that the toolbox computes are dollar sensitivities.
- Pricing Options Structure
The MATLAB®
Optionsstructure provides additional input to most pricing functions. - Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to use
treeviewerto examine tree information for a Hull-White tree when you price a European callable bond. - Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
