Calculate price and sensitivities for European or American barrier options using Monte Carlo simulations
[
calculates barrier option prices or sensitivities on a single underlying asset using the
Longstaff-Schwartz model. PriceSens
,Paths
,Times
,Z
]
= barriersensbyls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)barriersensbyls
computes prices of European
and American barrier options.
For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
[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] Broadie, M., P. Glasserman and S. Kou. "A continuity correction for discrete barrier options." Mathematical Finance. Vol. 7.4 , 1997, pp. 3250–349.
[4] Moon, K.S. "Efficient Monte Carlo algorithm for pricing barrier options." Communications of the Korean Mathematical Society. Vol 23.2, 2008 pp. 85–294.
[5] Papatheodorou, B. “Enhanced Monte Carlo methods for pricing and hedging exotic options." University of Oxford thesis, 2005.
[6] Rubinstein M. and E. Reiner. “Breaking down the barriers.” Risk. Vol. 4(8), 1991, pp. 28–35.
barrierbybls
| barrierbybls
| barrierbyfd
| barriersensbyfd
| barriersensbyls