Pricing Barrier Options Using Monte Carlo Simulation

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Presentation transcript:

Pricing Barrier Options Using Monte Carlo Simulation Ahmad Ahmad Augustine Y. D. Farley Course: Analytical Finance 1 Mälardalen University Lecturer: Jan Roman October 19, 2016

Pricing Barrier Options Using Monte Carlo Simulation Importing Libraries Defining the black-Scholes formula 11/13/2018 Seminar (AF1) Pricing Barrier Options Using Monte Carlo Simulation

Pricing Barrier Options Using Monte Carlo Simulation Our Measures ‘S0’ represents Current stock price ‘x’ represents Strike price barrier represents Barrier ‘T’ represents Time ‘n_steps’ represents Number of steps ‘r’ represents Interest rate ‘sigma’ represents Volatility 11/13/2018 Seminar (AF1) Pricing Barrier Options Using Monte Carlo Simulation

Pricing Barrier Options Using Monte Carlo Simulation Calculations 11/13/2018 Seminar (AF1) Pricing Barrier Options Using Monte Carlo Simulation

Pricing Barrier Options Using Monte Carlo Simulation Output 11/13/2018 Seminar (AF1) Pricing Barrier Options Using Monte Carlo Simulation

Pricing Barrier Options Using Monte Carlo Simulation Simulations 11/13/2018 Seminar (AF1) Pricing Barrier Options Using Monte Carlo Simulation

Pricing Barrier Options Using Monte Carlo Simulation Results Up and Out_Call = 0.237 Up and In_Call = 0.0 11/13/2018 Seminar (AF1) Pricing Barrier Options Using Monte Carlo Simulation

Pricing Barrier Options Using Monte Carlo Simulation Variables 11/13/2018 Seminar (AF1) Pricing Barrier Options Using Monte Carlo Simulation

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