If you are looking to price standard barrier options under BS assumptions (no stoch/local vol) the analytic approximations in RQuantlib or fOptions (which is from Haug's book) is your best friend.
Now if you must price using MC have a look at this little paper it is simple. (and inaccurate/ big standard error) http://www.opalconsulting.ch/dataa/245de.pdf As there is a big discretization error which needs to be addressed by Importance sampling or better still brownian bridge as in Amir Atiya http://alumnus.caltech.edu/~amir/barrier.pdf Cheers Krishna On Jun 10, 2013, at 4:37 AM, Raghuraman Ramachandran <[email protected]> wrote: > Dear guRus > > Is there any package to price up barrier options using Monte Carlo > simulations in R please? > > Thx > Raghu > > [[alternative HTML version deleted]] > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
