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Discrete Barrier Options by Trinomial Tree Method

Posted by Gary Pai

Input:

Show inputs of Tree Method

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

Output:
Price of Option:

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

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

 •  June 9, 2013  •