EXOTICS Binary Barrier

This calculator uses the Binary Barrier option pricing model to calculate the fair value of European-style call and put options with a barrier condition and payoff type provisions. To use the calculator please complete the input fields in the calculator below.

The BarrierBS function in FinTools XL is designed for pricing barrier options, which are exotic options where the payoff depends on whether the underlying asset's price breaches a preset barrier level during its life.

Underlying Price: The current price of the underlying asset.

Boundary Price: The price at which the option is knocked out or knocked in.

Exercise Price: The price at which the asset can be purchased if a call or sold if a put. Also known as the strike price.

Time to Expiration: Time to expiration expressed as a % of a year, ie. 0.5 is 1/2 of a year

Volatility: The annualized volatility of the underlying asset. Volatility is the standard deviation of the "relative" underlying price change.

Interest Rate: The risk-free interest rate based on the tenor to expiration.

Yield Factor: The percentage yield from the underlying asset.

Rebate Amount: The amount that is rebated back to the option holder in the event of a knockout.

Market Option Price: This input is only required when calculating implied volatility and implied strike.