1. 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

2. 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

3. 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

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

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

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

7. 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

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