Double barrier option
A call or put with one barrier above and one below the price, knocked out or in if either is touched.
Across the underlying
Greeks · 7
- 0.103298
- per 1 underlying unit
- −0.0164619
- per 1 underlying unit
- −0.105361
- per 1 vol point
- 0.013752
- per day
- 0.0315295
- per 1% rate
- −0.0190084
- per 1 underlying unit and 1 vol point
- −0.00160996
- per 1 vol point
Model values for illustration, from fixed market data. They are not quotes.
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A double knock-out survives only if the price stays between the barriers until expiry. A double knock-in becomes an ordinary option once either barrier is touched.
The narrower the corridor, the cheaper the knock-out and the dearer the knock-in.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
The Greeks
- Delta per 1 underlying unit
- How much the option's value changes when the underlying moves by 1 unit. It is the basic measure of directional exposure.
- Gamma per 1 underlying unit
- How much Delta changes when the underlying moves by 1 unit.
- Vega per 1 vol point
- How much the option's value changes when volatility rises by 1 point, for example from 20% to 21%.
- Theta per day
- How much the value changes as one calendar day passes, with everything else unchanged.
- Rho per 1% rate
- How much the value changes when interest rates rise by 1 percentage point.
- Vanna per 1 underlying unit and 1 vol point
- How much Delta changes when volatility rises by 1 point. It is also how much Vega changes when the underlying moves by 1 unit.
- Volga per 1 vol point
- How much Vega changes when volatility rises by 1 point. Also known as Vomma.
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