Price barrier option from Cox-Ross-Rubinstein binomial tree
[
calculates
prices for barrier options using a Cox-Ross-Rubinstein binomial tree.Price
,PriceTree
]
= barrierbycrr(CRRTree
,OptSpec
,Strike
,Settle
,AmericanOpt
,ExerciseDates
,BarrierSpec
,Barrier
)
[1] Derman, E., I. Kani, D. Ergener and I. Bardhan. “Enhanced Numerical Methods for Options with Barriers.” Financial Analysts Journal. (Nov.-Dec.), 1995, pp. 65–74.