Close Form Pricing of Plain and Partial Outside Double Barrier Options

8 Pages Posted: 20 Mar 2003  

Date Written: February 2003

Abstract

Outside Double Barrier Options are two-asset options where the payoff is defined on one asset and the barrier is defined on another asset. This paper gives the formulas for Outside Double Barrier Options where the barrier is either plain or partially monitored at the front, rear and middle. Since the corresponding Outside Single Barrier Options prices can be written down by taking the corresponding upper (lower) barrier to infinity (zero), the formulas in this paper can be also used as a reference for Outside Single Barrier Options.

Keywords: Double Barrier, Option Pricing, Outside Barrier

JEL Classification: G12, G13

Suggested Citation

Banerjee, Pradipto, Close Form Pricing of Plain and Partial Outside Double Barrier Options (February 2003). Available at SSRN: https://ssrn.com/abstract=379121 or http://dx.doi.org/10.2139/ssrn.379121

No contact information is available for Pradipto Banerjee

Paper statistics

Downloads
449
Rank
15,567
Abstract Views
1,473