Conze-Viswanathan and Goldman-Sosin-Gatto Models
Price and sensitivity for European lookback options using the
Conze-Viswanathan and Goldman-Sosin-Gatto models
The Conze-Viswanathan and Goldman-Sosin-Gatto models are two prominent approaches for pricing lookback options where the payoff depends on the maximum or minimum price of the underlying asset over the option's life. Price and analyze lookback option instruments using Conze-Viswanathan and Goldman-Sosin-Gatto models with the following functions:
Functions
lookbackbycvgsg | Calculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models |
lookbacksensbycvgsg | Calculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models |
Topics
- Pricing Asian Options
This example shows how to price a European Asian option using six methods in the Financial Instruments Toolbox™.
- Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
