Calculate barrier option prices using finite difference method
[
calculates European and American barrier option prices on a single underlying asset
using the finite difference method. Price
,PriceGrid
,AssetPrices
,Times
]
= barrierbyfd(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)barrierbyfd
assumes that the
barrier is continuously monitored.
[
adds optional name-value pair arguments. Price
,PriceGrid
,AssetPrices
,Times
]
= barrierbyfd(___,Name,Value
)barrierbyfd
assumes that
the barrier is continuously monitored.
[1] Hull, J. Options, Futures, and Other Derivatives. Fourth Edition. Prentice Hall. 2000, pp. 646–649.
[2] Aitsahlia, F., L. Imhof, and T.L. Lai. “Pricing and hedging of American knock-in options.” The Journal of Derivatives. Vol. 11.3, 2004, pp. 44–50.
[3] Rubinstein M. and E. Reiner. “Breaking down the barriers.” Risk. Vol. 4(8), 1991, pp. 28–35.
barrierbybls
| barrierbyls
| barriersensbybls
| barriersensbyfd
| barriersensbyls