Price European or American barrier options using Monte Carlo simulations
[
calculates barrier option prices on a single underlying asset using the Longstaff-Schwartz
model. Price
,Paths
,Times
,Z
]
= barrierbyls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)barrierbyls
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] Rubinstein M. and E. Reiner. “Breaking down the barriers.” Risk. Vol. 4(8), 1991, pp. 28–35.
barrierbybls
| barrierbyfd
| barriersensbybls
| barriersensbyfd
| barriersensbyls