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Cox-Ross-Rubinstein Tree Analysis

Price and analyze Cox-Ross-Rubinstein equity instrument


asianbycrrPrice Asian option from Cox-Ross-Rubinstein binomial tree
barrierbycrrPrice barrier option from Cox-Ross-Rubinstein binomial tree
cbondbycrrPrice convertible bonds from CRR binomial tree
compoundbycrrPrice compound option from Cox-Ross-Rubinstein binomial tree
crrpriceInstrument prices from Cox-Ross-Rubinstein tree
crrsensInstrument prices and sensitivities from Cox-Ross-Rubinstein tree
lookbackbycrrPrice lookback option from Cox-Ross-Rubinstein binomial tree
optstockbycrr Price stock option from Cox-Ross-Rubinstein tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Examples and How To

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® Options structure 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 treeviewer to examine tree information for a Hull-White tree when you price a Europrean callable bond.


Supported Equity Derivative Functions

Equity derivative instrument functions supported by Financial Instruments Toolbox™.