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Calculate double barrier option price and sensitivities using finite difference method

```
[PriceSens,PriceGrid,AssetPrices,Times]
= dblbarriersensbyfd(RateSpec,StockSpec,OptSpec,Strike,Settle,ExerciseDates,BarrierSpec,Barrier)
```

```
[PriceSens,PriceGrid,AssetPrices,Times]
= dblbarriersensbyfd(___,Name,Value)
```

`[`

calculates a European or American call or put double barrier option price and
sensitivities of a single underlying asset using the finite difference method.
`PriceSens`

,`PriceGrid`

,`AssetPrices`

,`Times`

]
= dblbarriersensbyfd(`RateSpec`

,`StockSpec`

,`OptSpec`

,`Strike`

,`Settle`

,`ExerciseDates`

,`BarrierSpec`

,`Barrier`

)`dblbarrierbyfd`

assumes that the barrier is continuously
monitored.

`[`

specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.`PriceSens`

,`PriceGrid`

,`AssetPrices`

,`Times`

]
= dblbarriersensbyfd(___,`Name,Value`

)

[1] Boyle, P., and Y. Tian.
“An Explicit Finite Difference Approach to the Pricing of Barrier
Options.” *Applied Mathematical Finance.* Vol. 5, Number 1,
1998, pp. 17–43.

[2] Hull, J. *Options,
Futures, and Other Derivatives.* Fourth Edition. Upper Saddle River, NJ:
Prentice Hall, 2000, pp. 646–649.

[3] Rubinstein, M., and E. Reiner.
“Breaking Down the Barriers.” *Risk.* Vol. 4, Number
8, 1991, pp. 28–35.

[4] Zvan, R., P. A. Forsyth and K.
R. Vetzal. “PDE Methods for Pricing Barrier Options.” *Journal
of Economic Dynamics and Control.* Vol. 24, Number 11-12, 2000, pp.
1563–1590.