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Discrete Barrier Options by Monte Carlo Method

Posted by Gary Pai

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	Knock-outKnock-in
Option type	CallPut
Rebate type	Rebate when hittingRebate at when expiring
Discrete barrier type	semi-annuallyquarterlymonthly
Monitor	all dayend of day

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  •