Barrier Call Option Price (up and out)

Posted by Gary Pai

Option Price

Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Upper Barrier
Call value

The calculation is based on Black-Scholes model and we solve the Black-Scholes PDE with the Crank-Nicolson method.

Tagged: Barrier Option Calculator, Up and Out Option

 •  Feb 3, 2012  • 

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