Cox-Ross-Rubinstein Tree Analysis
The Cox-Ross-Rubinstein (CRR) model uses a binomial tree to represent the possible future prices of an underlying asset (such as a stock) over discrete time intervals. Price and analyze equity option instruments using a CRR tree model with the following functions:
Functions
asianbycrr | Price Asian option from Cox-Ross-Rubinstein binomial tree |
barrierbycrr | Price barrier option from Cox-Ross-Rubinstein binomial tree |
cbondbycrr | Price convertible bonds from CRR binomial tree |
compoundbycrr | Price compound option from Cox-Ross-Rubinstein binomial tree |
crrprice | Instrument prices from Cox-Ross-Rubinstein tree |
crrsens | Instrument prices and sensitivities from Cox-Ross-Rubinstein tree |
lookbackbycrr | Price lookback option from Cox-Ross-Rubinstein binomial tree |
optstockbycrr | Price stock option from Cox-Ross-Rubinstein tree |
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. - Pricing European Call Options Using Different Equity Models
This example illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.
- Pricing Asian Options
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
- 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™.
