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Aug 4

Barrier Option Calculator

Posted by abiao at 06:57 | Code » Net | Comments(0) | Reads(10720)
tran(This program can calculate values and greeks for plain vanilla options as well as single and double barrier options with or without rebate. Calculations are performed within the standard Black-Scholes model. For plain vanilla and single barrier options, the calculation is purely analytical. Double barrier options are approximated using a Fourier series approximation, unless volatility is low. For low volatility an alternative series expansion is used.)


http://www.neumann.nl/~dimitri/pricing.html
wiki(barrier option)


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