Tag Archives: Barrier options

Pricing barrier options with simulations and sensitivity analysis with Greeks

Pricing barrier options with simulations and sensitivity analysis with Greeks In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) explains the pricing of barrier options with Monte-Carlo simulations and the sensitivity analysis of … Continue reading

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Pricing barrier options with analytical formulas

Pricing barrier options with analytical formulas As is mentioned in the previous post, the frequency of monitoring is one of the determinants of the price of a barrier option. The higher the frequency, the more likely a barrier event would … Continue reading

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Barrier options

Barrier options In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) explains barrier options which are the most traded exotic options in derivatives markets. Description Barrier options are path dependent. Their payoffs are … Continue reading

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