Discrete Barrier Options by Trinomial Tree Method

Posted by Fred

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
Option type
Rebate type
Discrete barrier type
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  • 

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