feat: Implement Barrier option pricing model #238
Description
Description
Implement pricing support for Barrier options. Barrier options are path-dependent options that are activated or deactivated when the underlying price crosses a specified barrier level.
Current State
- Barrier options return PricingError::UnsupportedOptionType
- No pricing model for barrier monitoring
Target State
- Fully functional Barrier option pricing
- Support for all barrier types (knock-in, knock-out)
- Support for up and down barriers
Tasks
- Implement knock-in barrier options (up-and-in, down-and-in)
- Implement knock-out barrier options (up-and-out, down-and-out)
- Support continuous and discrete barrier monitoring
- Implement rebate payments for knock-out options
- Implement Greeks calculations
- Add comprehensive tests
- Add documentation with examples
Technical Notes
Closed-form solutions exist for continuously monitored barriers.
In-Out Parity: Knock-In + Knock-Out = Vanilla Option
Estimated Effort
High (8-12 hours)