Standard Trinomial Tree Analysis
The standard trinomial tree (STT) is a binomial-like framework used for pricing equity options that extends the traditional binomial tree model by incorporating three potential price movements at each node: an upward movement, a downward movement, and a horizontal movement (no change in price). Price and analyze equity option instruments using a STT model with the following functions:
Functions
asianbystt | Price Asian options using standard trinomial tree |
barrierbystt | Price barrier options using standard trinomial tree |
compoundbystt | Price compound options using standard trinomial tree |
sttprice | Price instruments using standard trinomial tree |
sttsens | Instrument sensitivities and prices using standard trinomial tree |
lookbackbystt | Price lookback options using standard trinomial tree |
optstockbystt | Price vanilla options on stocks using standard trinomial tree |
derivget | Get derivatives pricing options |
derivset | Set or modify derivatives pricing options |
Topics
- 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®
Optionsstructure provides additional input to most pricing functions. - Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to use
treeviewerto examine tree information for a Hull-White tree when you price a European callable bond. - Supported Equity Derivative Functions
Equity derivative instrument functions supported by Financial Instruments Toolbox™.
