Pricing Barrier Options using Monte Carlo Simulation in Python

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…