net.finmath.functions

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

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	BarrierOptions.BarrierType

Method Summary

Modifier and Type	Method and 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) Value a barrier option.

Methods inherited from class java.lang.Object

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

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)

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.