%% Compute the Price of a Fixed Lookback Option Using the Conze-Viswanathan Model
% Define the RateSpec.

StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2014';
Rates = 0.045;
Compounding = -1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding)

%
% Define the StockSpec.

AssetPrice = 102;
Sigma = 0.45;
StockSpec = stockspec(Sigma, AssetPrice)

%
% Define the fixed lookback options.

Settle   = 'Jan-1-2013';
Maturity = 'July-1-2013'; 
OptSpec = {'put';'call'};
Strike = [98;101];

%
% Price the European fixed lookback options.

Price = lookbackbycvgsg(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity)

% Copyright 2015 The MathWorks, Inc.