Double Barrier Cash or Nothing Options: A Short Note

7 Pages Posted: 9 Jan 2013  

Antonie Kotze

Financial Chaos Theory; Department of Finance and Investment Management

Angelo Joseph

University of South Africa - School of Business Leadership

Date Written: May 9, 2009

Abstract

In this note we discuss and summarize the valuation methodology for Double barrier Cash or Nothing Options. We start off by briefly defining vanilla binary options and ordinary and double barrier options. We then move on to the valuation and price dynamics of the option at hand. After that we list the formulas for the Greeks and discuss their dynamics. Lastly we take a look at the asymptotes if one of the barriers disappears or falls away.

Keywords: exotic options, double barrier, binary options, cash or nothing

JEL Classification: G12, G13

Suggested Citation

Kotze, Antonie and Joseph, Angelo, Double Barrier Cash or Nothing Options: A Short Note (May 9, 2009). Available at SSRN: https://ssrn.com/abstract=2198426 or http://dx.doi.org/10.2139/ssrn.2198426

Antonie Kotze (Contact Author)

Financial Chaos Theory ( email )

PO Box 16185
Doornfontein, 2028
South Africa

HOME PAGE: http://www.quantonline.co.za/

Department of Finance and Investment Management ( email )

PO Box 524
Auckland Park
Johannesburg, Gauteng 2006
South Africa

HOME PAGE: http://www.uj.ac.za

Angelo Joseph

University of South Africa - School of Business Leadership ( email )

P.O. Box 392
UNISA
Pretoria, Gauteng 0003
South Africa

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