- java.lang.Object
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- net.finmath.functions.BarrierOptions
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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
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
BarrierOptions.BarrierType
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Method Summary
All Methods Static Methods Concrete Methods 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)
Value a barrier option.
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Method Detail
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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.
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