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,
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:
* RT: CPAN's request tracker (report bugs here)
http://rt.cpan.org/NoAuth/Bugs.html?Dist=Math-Business-Lookback
* AnnoCPAN: Annotated CPAN documentation
http://annocpan.org/dist/Math-Business-Lookback
* CPAN Ratings
http://cpanratings.perl.org/d/Math-Business-Lookback
* Search CPAN
http://search.cpan.org/dist/Math-Business-Lookback/