pricing floating strike lookback options [Matlab]

Category: Matlab	View Full Details
pricing floating strike lookback options
Submitter: raphaelndem	Date: 2010/11/22

Description: This is a simple function that prices a floating strike lookback options using closed form solutions. Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
657 0 bytes Matlab http://www.quantcode.com/
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Anonymous	Posted: 2011/5/9 2:15 Updated: 2011/5/9 2:15
	pricing floating strike lookback options Consider a European butterfly spread with mean basis (strike) 2K, that is, K₁=K, K₂=2K, K₃=3K. Please Write a MATLAB implementation to price the butterfly spread using Monte Carlo method.

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