基于Monte-Carlo和Crank-Nicolson有限差分法的欧式障碍期权定价

Recently,in addition to known European options and Americian options,there appear many new variety which are changed,composed,derived by vanilla options in international financial market.barrier options are one of these new options. barrier options are cheaper than standard European options.so they are welcome to market.they are widely applied in risk management.This paper apply Monte-Carlo and Crank-Nicolson finite difference methods to price European barrier optionsTake European put option for example ,then apply Matlab program and compare two results to the result based on formula.Results show that Crank-Nicolson finite difference method better than Monte-Carlo method