Calculate double barrier option price using finite difference method
[
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.
[
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
)
[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.