Double Barrier Cash or Nothing Options: A Short Note
7 Pages Posted: 9 Jan 2013
Date Written: May 9, 2009
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: Suggested Citation