Price barrier options using standard trinomial tree
[
prices
barrier options using a standard trinomial (STT) tree.Price
,PriceTree
]
= barrierbystt(STTTree
,OptSpec
,Strike
,Settle
,ExerciseDates
,AmericanOpt
,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.
derivset
| instbarrier
| sttprice
| sttsens
| stttimespec
| stttree