dblbarrierbyfd
Calculate double barrier option price using finite difference method
Syntax
Description
[
calculates a European or American call or put double barrier option price on a
single underlying asset using the finite difference method.
Price
,PriceGrid
,AssetPrices
,Times
]
= dblbarrierbyfd(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)dblbarrierbyfd
assumes that the barrier is continuously monitored.
Note
Alternatively, you can use the DoubleBarrier
object to price double barrier options. For more
information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.Price
,PriceGrid
,AssetPrices
,Times
]
= dblbarrierbyfd(___,Name,Value
)
Examples
Input Arguments
Output Arguments
More About
References
[1] Boyle, P., and Y. Tian. “An Explicit Finite Difference Approach to the Pricing of Barrier Options.” Applied Mathematical Finance. Vol. 5, Number 1, 1998, pp. 17–43.
[2] Hull, J. Options, Futures, and Other Derivatives. Fourth Edition. Upper Saddle River, NJ: Prentice Hall, 2000, pp. 646–649.
[3] Rubinstein, M., and E. Reiner. “Breaking Down the Barriers.” Risk. Vol. 4, Number 8, 1991, pp. 28–35.
[4] Zvan, R., P. A. Forsyth and K. R. Vetzal. “PDE Methods for Pricing Barrier Options.” Journal of Economic Dynamics and Control. Vol. 24, Number 11-12, 2000, pp. 1563–1590.