Calculate barrier option prices or sensitivities using finite difference method
[
calculates European and American barrier option prices or sensitivities of a single
underlying asset using the finite difference method. PriceSens
,PriceGrid
,AssetPrices
,Times
]
= barriersensbyfd(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)barrierbyfd
assumes that the barrier is continuously monitored.
[
adds optional name-value pair arguments. PriceSens
,PriceGrid
,AssetPrices
,Times
]
= barriersensbyfd(___,Name,Value
)barriersesbyfd
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
| barrierbyfd
| barrierbyls
| barriersensbybls
| barriersensbyls