Complex Asset Pricer · Commodities
Double touch option
Two barriers, one above and one below the price, and a fixed payout that depends on which are touched before expiry.
Present value · Black–Scholes · Closed form
0.7769
Across the underlying
Greeks · 7
- −0.00812118
- per 1 underlying unit
- −0.00432925
- per 1 underlying unit
- −0.0274614
- per 1 vol point
- 0.00382192
- per day
- −0.00332339
- per 1% rate
- 0.000287667
- per 1 underlying unit and 1 vol point
- −0.00066458
- per 1 vol point
Model values for illustration, from fixed market data. They are not quotes.
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Variants pay if the price touches one barrier but not the other, if it touches either, or if it stays between both until expiry (double no-touch).
Both barriers are watched continuously.
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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