Discrete Barrier Options

Posted by Chun-Yuan Chiu

Input:

Show inputs of the Monte Carlo method

Number of paths

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Barrier
Number of partitions
Option type
Output:
Option value

Pricing discrete barrier options by the Monte Carlo simulation with multiple control variates. The calculation is based on the Black-Scholes model. The number of partition should be greater than 1.

Tagged: Barrier Option, Black-Scholes Model, Monte Carlo, Control Variates, Multiple Control Variates

 •  May 19, 2013  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, hedging methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, hedging and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

pai@quantcalc.net

Copyright 2012-2017 Szu-Yu Pai