Barrier Options Under Negative Rates in Black-Scholes
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
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