NAME

Math::Business::BlackScholesMerton::NonBinaries

SYNOPSIS

    use Math::Business::BlackScholesMerton::NonBinaries;

    # price of a Call spread option
    my $price_call_option = Math::Business::BlackScholesMerton::NonBinaries::vanilla_call(
        1.35,       # stock price
        1.34,       # 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%)
    );

DESCRIPTION

Contains non-binary option pricing formula.

vanilla_call

    USAGE
    my $price = vanilla_call($S, $K, $t, $r_q, $mu, $sigma);

    DESCRIPTION
    Price of a Vanilla Call

vanilla_put

    USAGE
    my $price = vanilla_put($S, $K, $t, $r_q, $mu, sigma)

    DESCRIPTION
    Price a standard Vanilla Put

lbfloatcall

    USAGE
    my $price = lbfloatcall($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)

    DESCRIPTION
    Price of a Lookback Float Call

lbfloatput

    USAGE
    my $price = lbfloatcall($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)

    DESCRIPTION
    Price of a Lookback Float Put

lbfixedcall

    USAGE
    my $price = lbfixedcall($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)

    DESCRIPTION
    Price of a Lookback Fixed Call

lbfixedput

    USAGE
    my $price = lbfixedput($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)

    DESCRIPTION
    Price of a Lookback Fixed Put

lbhighlow

    USAGE
    my $price = lbhighlow($S, $K, $t, $r_q, $mu, $sigma, $S_max, $S_min)

    DESCRIPTION
    Price of a Lookback High Low

_d1_function

returns the d1 term common to many BlackScholesMerton formulae.

_l_max

This is a common function use to calculate the lookbacks options price. See [5] for details.

_l_min

This is a common function use to calculate the lookbacks options price. See [5] for details.

dnorm

Standard normal density function

callspread

    USAGE
    my $price = callspread($S, $U, $D, $t, $r_q, $mu, $sigmaU, $sigmaD);

    DESCRIPTION
    Price of a CALL SPREAD

putspread

    USAGE
    my $price = putspread($S, $U, $D, $t, $r_q, $mu, $sigmaU, $sigmaD);

    DESCRIPTION
    Price of a PUT SPREAD

standardbarrier

A function implemented by Diethelm Wuertz.

Description of parameters:

$S - starting spot $H - barrier $X - exercise price $K - cash rebate

References: Haug, Chapter 2.10.1

doubleknockout