Discrete Barrier Options by Monte Carlo Method

Posted by Fred


Show inputs of Monte Carlo Method

Number of iterations
Number of time partitions
Initial underlying asset price
Strike price
Time to maturity Years
Interest rate of domestic currency(annulized)
Interest rate of foreign currency(annulized)
Volatility (annulized)
Knock-in or knock-out
Option type
Rebate type
Discrete barrier type
Price of Option:

The we use Monte Carlo method to price discrete barrier option.

Keywords: discrete barrier option calculator, FX, Foreign exchange derivatives

 •  May 26, 2013  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, calibration methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, calibration and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.


Please contact us if you have any suggestion.


Copyright 2012-2013 Szu-Yu Pai