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Double Barrier Options

Call up and out down and out

 

where

,

where

w = The European option value

S = The spot price of the underlying asset

X = Strike price

L = Lower Boundary

U = Upper Boundary

= Lower boundary curvature

= Upper boundary curvature

= Volatility of underlying asset

b = Cost of carry

r = Risk free rate

t1 = End of monitoring period

T2 = Expiry date

M = The Cumulative bivariate normal density function

N = The Cumulative normal density function

 

Put up and out down and out

where

where

w = The European option value

S = The spot price of the underlying asset

X = Strike price

L = Lower Boundary

U = Upper Boundary

= Lower boundary curvature

= Upper boundary curvature

= Volatility of underlying asset

b = Cost of carry

r = Risk free rate

t1 = End of monitoring period

T2 = Expiry date

M = The Cumulative bivariate normal density function

N = The Cumulative normal density function

See Also

oX_DoubleBarrier( ) Function

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