barrierbyls
Price European or American barrier options using Monte Carlo simulations
Syntax
Description
[
calculates barrier option prices on a single underlying asset using the Longstaff-Schwartz
model. Price
,Paths
,Times
,Z
]
= barrierbyls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)barrierbyls
computes prices of European and American barrier
options.
For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.
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.
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
barrierbyfd
| barriersensbyfd
| barrierbybls
| barriersensbybls
| barriersensbyls
| Barrier