www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaBarrierDownandOutCallOptionUsingFiniteDifferencesMExample.m
%% Price a Barrier Down and Out Call Option Using Finite Difference Method %% % Create a |RateSpec|. AssetPrice = 50; Strike = 45; Rate = 0.035; Volatility = 0.30; Settle = '01-Jan-2015'; Maturity = '01-Jan-2016'; Basis = 1; RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,... 'EndDates', Maturity,'Rates', Rate, 'Compounding', -1, 'Basis', Basis) %% % Create a |StockSpec|. StockSpec = stockspec(Volatility, AssetPrice) %% % Calculate the price of a European Down and Out call option using Finite Difference. Barrier = 40; BarrierSpec = 'DO'; OptSpec = 'Call'; Price = barrierbyfd(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity,... BarrierSpec, Barrier)