How can I price an option with a variable strike price in Financial Toolbox 3.1 (R2006b)?

I would like to price an option with a variable strike price , say a put option on a nominal amount that resets quarterly. This is similar to a cliquet option.

Answer 1

[MathWorks Support Team]

The ability to do this is not available in Financial Toolbox.

However, the attached MATLAB files show an example of how you could do this.

It calls into the function OPCLIQUET, which is an equity cliquet option pricer. It allows you to set all the parameters you would set for the function BLSPRICE, but also requires as additional parameters the number of Monte Carlo simulations as well as the number of resets.

Note that it only simulates prices on the times of the resets, and not in between. Note that you could quite easily modify the code to do this.