Barrier Options Pricer

Barrier Option Type

You can choose the type of Barrier Options you would like to price and analyze. This pricer is able to price Down-and-In, Down-and-Out, Up-and-In and Up-and-Out Options (Calls and Puts).

Spot

This is the spot price of the underlying stock and can therefore take any positive value.

Dividend yield

This is the annual dividend yield of the underlying stock. A value of 0,03 means an annual dividend yield of 3%.

Interest rate

This is the risk-free interest rate of the option's currency. A value of 0,01 means an annual risk-free interest rate of 1%.

Volatility

This is the annual implied volatility used to price the barrier option. A value of 0,2 means an annual implied volatility of 20%.

Strike

This is the strike price of the barrier option. As the spot price, it can take any positive value.

Maturity

This is the maturity of the barrier option. It is expressed in years and can take any positive value. A value of 1,5 means one year and half.

Barrier

This is the barrier level of the barrier option. When pricing a down barrier option, make sure the barrier level is lower than the spot price of the underlying asset. Inversely, when pricing an up barrier option, make sure the barrier level is greater than the spot price of the underlying asset.

Rebate

This is the rebate that the investor would receive if his knock-in option has not been knocked-in or his knock-out option has been knocked-out. It is expressed in monetary terms and must obviously be positive.

Barrier Option type :

Stock price :

Dividend yield :

Interest rate :

Volatility :

Strike :

Maturity (in years):

Rebate:

Premium
Delta
Gamma
Vega
Theta
Rho