4 Pages Posted: 27 Sep 2014 Last revised: 18 Jun 2015
Date Written: September 26, 2014
Under negative interest rates, the Black-Scholes formula for barrier options with rebate appears to breakdown. This note shows how one can just use complex numbers to overcome the problem.
Keywords: barrier option, Black-Scholes, finance
Suggested Citation: Suggested Citation
Le Floc'h, Fabien and Prüll, Alexander, Barrier Options Under Negative Rates in Black-Scholes (September 26, 2014). Available at SSRN: https://ssrn.com/abstract=2501907 or http://dx.doi.org/10.2139/ssrn.2501907