barrier option pricing python

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Its payoff is determined by whether the price of the underlying asset reaches some pre-determined price level negotiated at the time of the contract purchase. View source: R/Barrier.R. 3m50s for 20000 simulations with 2000 time steps (dt=1/2000) gives one the wrong idea of how efficient MC can be or not. Barrier Option Pricing under the Black Scholes A barrier option is a type of exotic option, in which the payoff demands reaching or crossing of a barrier (predetermined price) by the underlying product. Pricing engine for barrier options using binomial trees. • Consideranup-and-outcallwithbarrier H i forthe timeinterval (t i,t i+1],0≤i

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