This module contains functions that compute prices of standard and barrier options in cfl::AssetModel.
Computes the value of the up-range-out put option. The option is canceled after first iOutTimes barrier times, when the stock price is above dUpperBarrier. Otherwise, it behaves as standard European put option with maturity dMaturity and strike dStrike.
- Parameters
-
dUpperBarrier | The upper barrier. |
iOutTimes | The number of barrier events ("stock price is
above \a dUpperBarrier") that cancels the option. |
rBarrierTimes | The vector of barrier times. The first time is greater than the initial time. The last barrier time is less than dMaturity. |
dStrike | The strike of the put option. |
dMaturity | The maturity of the option. |
rModel | Reference to implementation of AssetModel. |
- Returns
- The price of the option as the function of the initial values of the state processes in the model.