bs barrier option mc

financepy.models.bs_barrier_option_mc

Functions

value_barrier_option_mc


value_barrier_option_mc(
    t: float,
    k: float,
    barrier_type: BarrierTypes,
    b: float,
    s: float,
    r: float,
    process_type: int,
    model_params: tuple,
    num_obs_per_year: int = 252,
    num_paths: int = 10000,
    seed: int = 4242,
) -> float

A Monte-Carlo based valuation of the barrier option which simulates the evolution of the stock price of at a specified number of annual observation times until expiry to examine if the barrier has been crossed and the corresponding value of the final payoff, if any. It assumes a GBM model for the stock price.

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