Aug
4

## Barrier Option Calculator

tran(This program can calculate values and greeks for plain vanilla options as well as single and double barrier options with or without rebate. Calculations are performed within the standard Black-Scholes model. For plain vanilla and single barrier options, the calculation is purely analytical. Double barrier options are approximated using a Fourier series approximation, unless volatility is low. For low volatility an alternative series expansion is used.)

http://www.neumann.nl/~dimitri/pricing.html

wiki(barrier option)

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http://www.neumann.nl/~dimitri/pricing.html

wiki(barrier option)

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