calldown: Price Call Down Barrier Option using Monte Carlo method

In PierreNGM/RCBBarrierOptionPricing: Tools For Barrier Option Pricing

Price Call Down Barrier Option using Monte Carlo method

Description

calldown is a fuction enhancing the pricinge precedure of a Call Down (Knock-out) Barrier Option evaluation using Monte Carlo method.

Usage

calldown(s, k, v, r, tt, d, B, m, numsim, InOut = "In")

Arguments

s	= underlying
k	= strike
v	= volatility
r	= riskFreeRate
tt	= maturity
d	= dividendYield
B	= barrier
m	= nbr of price change simulated
numsim	= nbr of paths simulated
InOut	= "In" if you want the price of a Down-In option or "Out" if you want the price od a Down-Out option.

Value

the output is the expected price for the underlying option.

PierreNGM/RCBBarrierOptionPricing documentation built on April 19, 2022, 12:03 a.m.