Close Form Pricing of Plain and Partial Outside Double Barrier Options
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.
Number of Pages in PDF File: 8
Keywords: Double Barrier, Option Pricing, Outside Barrier
JEL Classification: G12, G13
Date posted: March 20, 2003