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, 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/