Barrier option valuation in Python: exotic options and Monte Carlo with Johnson SU
Today we are investigating the valuation of conventional and exotic barrier options in Python using real-world stock price and option chain data and Monte Carlo simulations with the Johnson SU distribution function - a concept that has been developed with option pricing in mind. We are going to visualise the payoff structures of both knock-in and knock-out options, automate the interpretation of model results, and compare their fair values to real-world market prices.
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