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Oct 3

Up-and-out call option by Monte Carlo

Posted by abiao at 14:01 | Code » Matlab | Comments(1) | Reads(14258)
Another sample code of the book An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, read Crank-Nicolson for put. This sample calculates a up-and-out call barrier option via Monte Carlo simulation with antithetic variates.

An up and out call is a regular call option that ceases to exist if the asset price reaches a barrier level, H, that is higher than the current asset price, when H is less than or equal to K, the value of the up and out call is zero.

Code can be accessed here http://www.maths.strath.ac.uk/~aas96106/ch21.m.

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