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Math-Business-Lookback-0.01
River stage zero No dependents
++
/ Math::Business::Lookback

NAME

Math::Business::Lookback

SYNOPSIS

    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
    );

DESCRIPTION

Prices lookback options using the GBM model, all closed formulas.

SUBROUTINES

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 BlackScholes formulae.

l_max

This is a common function use to calculate the lookbacks options price. See [1] for details.

l_min

This is a common function use to calculate the lookbacks options price. See [1] for details.

DEPENDENCIES

    * Math::CDF

SOURCE CODE

    https://github.com/binary-com/perl-Math-Business-Lookback

REFERENCES

[1] Espen Gaarder Haug, PhD The Complete Guide to Option Pricing Formulas p141-p144

AUTHOR

binary.com, <shahrizal at binary.com>

BUGS

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.

SUPPORT

You can find documentation for this module with the perldoc command.

    perldoc Math::Business::Lookback

You can also look for information at: