Two-Step Discrete Barrier Options

Posted by Chun-Yuan Chiu

Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Monitor time
Option type
Option value


Derivation of the Pricing Formulae for 3-period Discrete Barrier Options

A closed form solution for pricing two-step discrete barrier options. The calculation is based on the Black-Scholes model.

Tagged: Barrier Option, Black-Scholes Model

 •  Jan 20, 2014  • 

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