I am looking for R or Matlab code examples of multi-barrier-options (or multi-barrier reverse convertibles) with at least 3 underlyings. Do you have such code or can you point me to a place where I can find it.

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    $\begingroup$ What kind of pricer are you looking for? $\endgroup$ – Bob Jansen Nov 10 '13 at 16:03
  • $\begingroup$ Ideally an R script which I can feed with the data required (strikes etc.) and which conducts the simulation exercise and delivers prices or coupons for the instruments. There is a Bloomberg function called OVSN which does the job, but I want to have my own pricer where I can add my assumptions as I like. $\endgroup$ – user2157086 Nov 11 '13 at 11:49
  • $\begingroup$ AFAIK there are no closed form solutions for this type option. So you will need some approximation scheme. I'm sure more than one exists, do you have any opinion on them? $\endgroup$ – Bob Jansen Nov 11 '13 at 12:58
  • $\begingroup$ Shooting to do zero work here, huh? There a bunch of pricing functions here: volopta.com/index.html $\endgroup$ – SpeedBoots Nov 11 '13 at 13:09
  • $\begingroup$ i am aware that there are no closed form solutions. as i am not a derivatives geek, i am just looking whether there is code out there which i can adapt. also, i would be curious what model the traders use (or which is most common). $\endgroup$ – user2157086 Nov 12 '13 at 12:03

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