Equity Barrier Option Mc
financepy.models.equity_barrier_option_mc
Functions
value_equity_barrier_option_mc
value_equity_barrier_option_mc(t: float, k: float, opt_type: financepy.utils.global_types.BarrierTypes, b: float, notional: float, s: float, r: float, process_type: int, model_params: dict, 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.
Generated automatically from the FinancePy source code.
Do not edit this file manually.