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Quantitative Finance · Glosarium

Apa itu Double-barrier option?

Definition 15.8 Derivatives and Volatility · Bab 15 — Barriers and Digitals

A double-barrier option has a lower and an upper barrier, and knocks in or out when either is touched. The double no-touch, which pays if neither is touched, is its simplest form.

Contoh

Example 15.9 (A barrier sheet)

Spot and strike 100, one year, r=3%r=3\%, q=1%q=1\%, volatility 20%. The call is worth 8.83. With a knock-out at 90 it is worth 7.23, and the down-and-in 1.60, which adds up. A rebate of 2 paid at the hit raises the knock-out to 8.41, since the one-touch at 90 paid at the hit is worth 0.592 (0.581 paid at expiry). The no-touch at 90 is worth 0.390, the up-and-out call with barrier 130 is worth 3.10, and the double no-touch between 85 and 115 is worth 0.141 (Figure 15.3, left).

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