Analytic Solutions of Barrier Options

Posted by Fred


Initial underlying asset price
Strike price
Time to maturity Years
Interest rate of domestic currency(annulized)
Interest rate of foreign currency(annulized)
Volatility (annulized)
Knock-in or knock-out
Price of Call Option:
Price of Put Option:

Assume the underlying asset is following Geometric Brownian motion, we have analystic solution for price of barrier option.

Keywords: barrier option calculator, FX, Foreign exchange derivatives

 •  Apr 27, 2014  • 

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