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:

• 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/