Barrier Call Option Price (up and out)

Posted by Szu-Yu (Gary) Pai

Option Price

Input:
Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Upper Barrier
Output:
Call value

The calculation is based on Black-Scholes model and we solve the Black-Scholes PDE with the Crank-Nicolson method.

Tagged: Barrier Option Calculator, Up and Out Option

 •  Feb 3, 2012  • 

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