Math::Business::Lookback
use Math::Business::Lookback;
# price of a Lookback Fixed Call option
my $price_lbfixedcall_option = Math::Business::Lookback::lbfixedcall(
1.35, # stock price
1.36, # barrier
(7/365), # time
0.002, # payout currency interest rate (0.05 = 5%)
0.001, # quanto drift adjustment (0.05 = 5%)
0.11, # volatility (0.3 = 30%)
1.39, # maximum spot
undef # minimum spot
);
Prices lookback options using the GBM model, all closed formulas.
USAGE
my $price = lbfloatcall($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)
DESCRIPTION
Price of a Lookback Float Call
USAGE
my $price = lbfloatcall($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)
DESCRIPTION
Price of a Lookback Float Put
USAGE
my $price = lbfixedcall($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)
DESCRIPTION
Price of a Lookback Fixed Call
USAGE
my $price = lbfixedput($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)
DESCRIPTION
Price of a Lookback Fixed Put
USAGE
my $price = lbhighlow($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)
DESCRIPTION
Price of a Lookback High Low
returns the d1 term common to many BlackScholes formulae.
This is a common function use to calculate the lookbacks options price. See [1] for details.
This is a common function use to calculate the lookbacks options price. See [1] for details.
* Math::CDF
https://github.com/binary-com/perl-Math-Business-Lookback
[1] Espen Gaarder Haug, PhD The Complete Guide to Option Pricing Formulas p141-p144
binary.com, <shahrizal at binary.com>
Please report any bugs or feature requests to
bug-math-business-lookbacks at rt.cpan.org
, or through the web
interface at
http://rt.cpan.org/NoAuth/ReportBug.html?Queue=Math-Business-Lookback.
I will be notified, and then you'll automatically be notified of progress on
your bug as I make changes.
You can find documentation for this module with the perldoc command.
perldoc Math::Business::Lookback
You can also look for information at:
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RT: CPAN's request tracker (report bugs here)
http://rt.cpan.org/NoAuth/Bugs.html?Dist=Math-Business-Lookback
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