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Soft Barrier Options

where

= 1 for a call and = -1 for a put,

,

,

,

,

,

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_SoftBarrier( ) Function

oX_SoftBarrier_Imp( ) Function

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