Class BarrierOptions

java.lang.Object
net.finmath.functions.BarrierOptions

public class BarrierOptions extends Object
This class implements the valuation of barrier options. Currently only supports a a lognormal model. We use the notation from the book by Espeen Gaarder Haugh. "The complete Guide to Option Pricing Formulas".
Version:
1.0
Author:
Alessandro Gnoatto
Date:
09.03.2020
  • Method Details

    • blackScholesBarrierOptionValue

      public static double blackScholesBarrierOptionValue(double initialStockValue, double riskFreeRate, double dividendYield, double volatility, double optionMaturity, double optionStrike, boolean isCall, double rebate, double barrierValue, BarrierOptions.BarrierType barrierType)
      Value a barrier option.
      Parameters:
      initialStockValue - The model's initial value of the stock.
      riskFreeRate - The model's risk free rate of the stock.
      dividendYield - The model's dividend yield of the stock.
      volatility - The model's volatility yield of the stock.
      optionMaturity - The product's option maturity.
      optionStrike - The product's option strike.
      isCall - If true, the a call option will be valued, otherwise a put option.
      rebate - The product's rebate.
      barrierValue - The location of the barrier.
      barrierType - The type of the barrier.
      Returns:
      The value of the option.