barriersensbyls
Calculate price and sensitivities for European or American barrier options using Monte Carlo simulations
Syntax
Description
[
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.
Note
Alternatively, you can use the Barrier
object to calculate
price or sensitivities for Barrier options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
Examples
Input Arguments
Output Arguments
More About
References
[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.