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/

