Download This PaperBarrier Options Under Negative Rates in Black-Scholes
4 Pages Posted: 27 Sep 2014 Last revised: 18 Jun 2015
Date Written: September 26, 2014
Abstract
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
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.