Package net.finmath.functions

Class BarrierOptions

java.lang.Object

net.finmath.functions.BarrierOptions

public class BarrierOptions
extends Object

This class implements the pricing of barrier options in 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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	BarrierOptions.BarrierType

Constructor Summary

Constructors

Constructor	Description
BarrierOptions()

Method Summary

Modifier and Type	Method	Description
static double	blackScholesBarrierOptionValue(double initialStockValue, double riskFreeRate, double dividendYield, double volatility, double optionMaturity, double optionStrike, boolean isCall, double rebate, double barrierValue, BarrierOptions.BarrierType barrierType)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BarrierOptions

public BarrierOptions()

Method Detail

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)