Pricing Barrier Options using Monte Carlo Simulation in Python

Andrea Chello
The Quant Journey
Published in
6 min readMay 17, 2022

Source: Cass Business School Structured Products Module

Modelling Exotic Options

When modelling exotic options, one has to make a fundamental decision very early in the process: should you model the option in a continuous-time, Black-Scholes type of model, or in a binomial model.

  • Generally many exotic options are initially priced via a binomial model, and then at some…