Double barrier options are vanilla call and put options that are either activated or canceled based on the underlying reaching either a lower or upper barrier.
types of double barrier options
There are two features that specify the type of barrier option:
In / Out. The option can either be activated (in) or canceled (out) as a consequence of hitting one of the barriers.
Call / Put. The two type of vanilla options
These two features result in a total of 4 different types of double barrier options. E.g. a in-call is a call which is activated when the underlying moves down or up and hits a barrier.
List of symbols
Value of the double barrier in call option at expiration
Value of the double barrier in put option at expiration
Value of the double barrier out call option at expiration
Value of the double barrier out put option at expiration
