Previous Topic

Next Topic

Look-Barrier Options

where

,

, ,

? = 1 if up and out call and ? = -1 if down and out call

m= min(h,k) when ? = 1, and m= max(h,k) when ? = -1

where

w = The European option value

S = The spot price of the underlying asset

X = Strike price

H = Barrier

= 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_LookBarrier( ) Function

oX_LookBarrier_Imp( ) Function

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.