BarrierOption: Barrier Option evaluation using Closed-Form solution
Description
This function evaluations an Barrier option on a common stock
using a closed-form solution. The option value as well as the common first
derivatives ("Greeks") are returned.
A string with one of the values downin,
downout, upin or upout
type
A string with one of the values call or put
underlying
Current price of the underlying stock
strike
Strike price of the option
dividendYield
Continuous dividend yield (as a fraction) of the stock
riskFreeRate
Risk-free rate
maturity
Time to maturity (in fractional years)
volatility
Volatility of the underlying stock
barrier
Option barrier value
rebate
Optional option rebate, defaults to 0.0
Value
An object of class BarrierOption (which inherits from class
Option) is returned. It contains a list with the
following components:.Note that under the new pricing framework used in QuantLib, binary
pricers do not provide analytics for 'Greeks'. This is expected to be
addressed in future releases of QuantLib.
Details
A closed-form solution is used to value the Barrier Option. In the
case of Barrier options, the calculations are from Haug's "Option
pricing formulas" book (McGraw-Hill).
Please see any decent Finance textbook for background reading, and
the QuantLib documentation for details on the QuantLib
implementation.