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8: Built-in Financial Computations
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Application Areas
Exotic Contracts
Handling for a number of exotic contracts, for example, perpetual lookback contracts.
In[1]:=
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ListPlot[{#, FinancialDerivative[{"PerpetualLookback", "Put"}, {"Expiration" -> 1, "MaxSoFar" -> 50}, {"CurrentPrice" -> 45, "Dividend" -> 0.04, "Volatility" -> #, "InterestRate" -> 0.05}, "CriticalValue"]} & /@ Range[0.1, 0.5, 0.02], Filling -> Axis]
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