Discrete Barrier Options by Monte Carlo Method

Posted by Fred

Input:

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)
Barrier
Rebate
Knock-in or knock-out
Option type
Rebate type
Discrete barrier type
Monitor
Output:
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  • 

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