barrierbyfd
Calculate barrier option prices using finite difference method
Syntax
Description
[
calculates European and American barrier option prices on a single underlying asset
using the finite difference method. Price
,PriceGrid
,AssetPrices
,Times
]
= barrierbyfd(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)barrierbyfd
assumes that the
barrier is continuously monitored.
Note
Alternatively, you can use the Barrier
object to price Barrier options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
adds optional name-value pair arguments. Price
,PriceGrid
,AssetPrices
,Times
]
= barrierbyfd(___,Name,Value
)barrierbyfd
assumes that
the barrier is continuously monitored.
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Hull, J. Options, Futures, and Other Derivatives. Fourth Edition. Prentice Hall. 2000, pp. 646–649.
[2] Aitsahlia, F., L. Imhof, and T.L. Lai. “Pricing and hedging of American knock-in options.” The Journal of Derivatives. Vol. 11.3, 2004, pp. 44–50.
[3] Rubinstein M. and E. Reiner. “Breaking down the barriers.” Risk. Vol. 4(8), 1991, pp. 28–35.
Version History
Introduced in R2016bSee Also
barriersensbyfd
| barrierbybls
| barriersensbybls
| barrierbyls
| barriersensbyls
| Barrier