Analytic Solutions of Barrier Options

Posted by Fred

Input:

Initial underlying asset price
Strike price
Time to maturity Years
Interest rate of domestic currency(annulized)
Interest rate of foreign currency(annulized)
Volatility (annulized)
Barrier
Rebate
Knock-in or knock-out
Output:
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

 •  Oct 26, 2013  • 

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