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Calculate price and sensitivities for European or American barrier options using Monte Carlo simulations

```
[PriceSens,Paths,Times,Z]
= barriersensbyls(RateSpec,StockSpec,OptSpec,Strike,Settle,ExerciseDates,BarrierSpec,Barrier)
```

```
[PriceSens,Paths,Times,Z]
= barriersensbyls(___,Name,Value)
```

`[`

calculates barrier option prices or sensitivities on a single underlying asset using the
Longstaff-Schwartz model. `PriceSens`

,`Paths`

,`Times`

,`Z`

]
= barriersensbyls(`RateSpec`

,`StockSpec`

,`OptSpec`

,`Strike`

,`Settle`

,`ExerciseDates`

,`BarrierSpec`

,`Barrier`

)`barriersensbyls`

computes prices of European
and American barrier options.

For American options, the Longstaff-Schwartz least squares method is used to calculate the early exercise premium.

[1] Hull, J. *Options, Futures and Other Derivatives* Fourth
Edition. Prentice Hall, 2000, pp. 646-649.

[2] Aitsahlia, F., L. Imhof and T.L. Lai. “Pricing and hedging
of American knock-in options.” *The Journal of Derivatives.* Vol.
11.3, 2004, pp. 44–50.

[3] Broadie, M., P. Glasserman and S. Kou. "A continuity correction
for discrete barrier options." *Mathematical Finance.* Vol.
7.4 , 1997, pp. 3250–349.

[4] Moon, K.S. "Efficient Monte Carlo algorithm for pricing barrier
options." *Communications of the Korean Mathematical Society.* Vol
23.2, 2008 pp. 85–294.

[5] Papatheodorou, B. *“Enhanced Monte Carlo methods
for pricing and hedging exotic options."* University of
Oxford thesis, 2005.

[6] Rubinstein M. and E. Reiner. “Breaking down the barriers.” *Risk.* Vol.
4(8), 1991, pp. 28–35.

`barrierbybls`

| `barrierbybls`

| `barrierbyfd`

| `barriersensbyfd`

| `barriersensbyls`