Down and out call option matlab code. if it is a knockout call, it should be l(j)*max(ST(j, maturityDate) -K, 0). of max(ST -K,0) it seems to me that your code produces the correct results (although you coded it up quite inefficient in matlab with your double for loop). You can compare that against a barrier option pricer on the web. for example.

Down and out call option matlab code

Barrier stock option

Down and out call option matlab code. Also, Matlab does not currently have analytic formulae for barrier options implemented. It might do so in future releases. In the meantime, you will have to I implement the down and out, but I'm still thinking how to implement up and in, paste the first section at first. function Aerican_Down_and_Out_Call.

Down and out call option matlab code


Translated by Mouseover text to see original. Click the button below to return to the English verison of the page. This page has been translated by MathWorks. Please click here To view all translated materals including this page, select Japan from the country navigator on the bottom of this page. The automated translation of this page is provided by a general purpose third party translator tool. MathWorks does not warrant, and disclaims all liability for, the accuracy, suitability, or fitness for purpose of the translation.

Interest-rate term structure annualized and continuously compounded , specified by the RateSpec obtained from intenvset. For information on the interest-rate specification, see intenvset. Stock specification for the underlying asset. For information on the stock specification, see stockspec. For example, for physical commodities the price is StockSpec.

Asset , the volatility is StockSpec. Sigma , and the convenience yield is StockSpec. Definition of an option as 'call' or 'put' , specified as a character vector or string object with values 'call' or 'put'.

Settlement or trade date for the barrier option, specified as a serial date number, a date character vector, or a datetime object. Option exercise dates, specified as a date character vector, a nonnegative scalar integer, or datetime object:. For a European option, use a 1 -by- 1 vector of dates. For a European option, there is only one ExerciseDates on the option expiry date which is the maturity of the instrument. For an American option, use a 1 -by- 2 vector of exercise date boundaries. The option can be exercised on any date between or including the pair of dates on that row.

If only one non- NaN date is listed, or if ExerciseDates is a 1 -by- 1 vector of serial date numbers or a cell array of date character vectors, the option can be exercised between Settle and the single listed date in ExerciseDates. This option becomes effective when the price of the underlying asset passes above the barrier level.

Note, barrierbyfd does not support American knock-in barrier options. This option terminates when the price of the underlying asset passes above the barrier level. Usually, with an up-and-out option, the rebate is paid if the spot price of the underlying reaches or exceeds the barrier level. This option becomes effective when the price of the underlying stock passes below the barrier level.

With a down-and-in option, the rebate is paid if the spot price of the underlying does not reach the barrier level during the life of the option. This option terminates when the price of the underlying security passes below the barrier level. Usually the option holder receives a rebate amount if the option expires worthless. Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside single quotes ' '.

You can specify several name and value pair arguments in any order as Name1,Value1, Rebate value, specified as a scalar integer. For Knock In options, the rebate is paid at expiry. For Knock Out options, the rebate is paid when the barrier is reached. The number of columns does not have to be equal to the TimeGridSize , because ex-dividend dates in the StockSpec are added to the time grid. Prices of the asset defined by the StockSpec corresponding to the first dimension of PriceGrid , returned as a vector.

Times corresponding to the second dimension of the PriceGrid , returned as a vector. A Barrier option has not only a strike price but also a barrier level and sometimes a rebate. A rebate is a fixed amount that is paid if the option cannot be exercised because the barrier level has been reached or not reached. The payoff for this type of option depends on whether the underlying asset crosses the predetermined trigger value barrier level , indicated by Barrier , during the life of the option.

Options, Futures, and Other Derivatives. Choose your country to get translated content where available and see local events and offers. Based on your location, we recommend that you select: Trial Software Product Updates.

This is machine translation Translated by. Input Arguments collapse all RateSpec — Interest-rate term structure structure.

StockSpec — Stock specification for underlying asset structure. OptSpec — Definition of option character vector with values 'call' or 'put' string object with values 'call' or 'put'. Strike — Option strike price value integer. Option strike price value, specified as an integer. Settle — Settlement or trade date serial date number date character vector datetime object. ExerciseDates — Option exercise dates date character vector nonnegative scalar integer datetime object.

Option exercise dates, specified as a date character vector, a nonnegative scalar integer, or datetime object: BarrierSpec — Barrier option type character vector with values: Barrier option type, specified as a character vector with the following values: Barrier — Barrier value scalar integer. Barrier value, specified as a scalar integer. Size of the asset grid used for finite difference grid, specified as a positive scalar.

Size of the time grid used for the finite difference grid, specified as a positive scalar. Output Arguments collapse all Price — Expected prices for barrier options matrix. PriceGrid — Grid containing prices calculated by finite difference method grid.

AssetPrices — Prices of asset defined by StockSpec vector. Times — Times corresponding to second dimension of PriceGrid vector. Limitations barrierbyfd does not support American knock-in barrier options. More About collapse all Barrier Option A Barrier option has not only a strike price but also a barrier level and sometimes a rebate. References [1] Hull, J. Was this topic helpful? Select Your Country Choose your country to get translated content where available and see local events and offers.


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