Pricing Barrier Options Using Monte Carlo Simulation Ahmad

Pricing Barrier Options Using Monte Carlo Simulation 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 6/9/2021 Defining the black-Scholes formula Seminar (AF 1) Pricing Barrier Options Using Monte Carlo Simulation 2

Pricing Barrier Options Using Monte Carlo Simulation Our Measures ‘S 0’ 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 6/9/2021 Seminar (AF 1) Pricing Barrier Options Using Monte Carlo Simulation 3

Pricing Barrier Options Using Monte Carlo Simulation Calculations 6/9/2021 Seminar (AF 1) Pricing Barrier Options Using Monte Carlo Simulation 4

Pricing Barrier Options Using Monte Carlo Simulation Output 6/9/2021 Seminar (AF 1) Pricing Barrier Options Using Monte Carlo Simulation 5

Pricing Barrier Options Using Monte Carlo Simulations 6/9/2021 Seminar (AF 1) Pricing Barrier Options Using Monte Carlo Simulation 6

Pricing Barrier Options Using Monte Carlo Simulation Results Up and Out_Call = 0. 237 Up and In_Call = 0. 0 6/9/2021 Seminar (AF 1) Pricing Barrier Options Using Monte Carlo Simulation 7

Pricing Barrier Options Using Monte Carlo Simulation Variables 6/9/2021 Seminar (AF 1) Pricing Barrier Options Using Monte Carlo Simulation 8