barriersensbybls
Calculate price or sensitivities for European barrier options using Black-Scholes option pricing model
Syntax
Description
calculates European barrier option prices or sensitivities using the Black-Scholes
option pricing model.PriceSens
= barriersensbybls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)
Note
Alternatively, you can use the Barrier
object to calculate price or sensitivities for Barrier options. For more
information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
adds optional name-value pair arguments. PriceSens
= barriersensbybls(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Hull, J. Options, Futures and Other Derivatives Fourth Edition. Prentice Hall, 2000, pp. 646–649.
[2] Aitsahlia, F., L. Imhof, and T.L. Lai. “Pricing and hedging of American knock-in options.” The Journal of Derivatives. Vol. 11.3, 2004, pp. 44–50.
[3] Rubinstein M. and E. Reiner. “Breaking down the barriers.” Risk. Vol. 4(8), 1991, pp. 28–35.
Version History
Introduced in R2016b