Calculate prices and sensitivities for European double barrier options using Black-Scholes option pricing model
calculates European double barrier option prices and sensitivities using the
Black-Scholes option pricing model and the Ikeda and Kunitomo approximation.PriceSens
= dblbarriersensbybls(RateSpec
,StockSpec
,OptSpec
,Strike
,Settle
,ExerciseDates
,BarrierSpec
,Barrier
)
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.PriceSens
= dblbarriersensbybls(___,Name,Value
)
[1] Hull, J. Options, Futures, and Other Derivatives. Fourth Edition. Upper Saddle River, NJ: Prentice Hall, 2000.
[2] Kunitomo, N., and M. Ikeda. “Pricing Options with Curved Boundaries.” Mathematical Finance. Vol. 2, Number 4, 1992.
[3] Rubinstein, M., and E. Reiner. “Breaking Down the Barriers.” Risk. Vol. 4, Number 8, 1991, pp. 28–35.