Discrete Barrier Options

Posted by Chun-Yuan Chiu


Show inputs of the Monte Carlo method

Number of paths

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Number of partitions
Option type
Option value

Pricing discrete barrier options by the Monte Carlo simulation with control variates. The calculation is based on the Black-Scholes model. The number of partition should be greater than 1.

Tagged: Barrier Option, Black-Scholes Model, Monte Carlo, Control Variates

 •  Sep 14, 2013  • 

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