OPT_BARRIER
Returns the pricing for a barrier option, calculated using the Black-Scholes option pricing model.
OPT_BARRIER(Spot; Volatility; Rate; Foreign Rate; Maturity; Strike; Lower Barrier; Upper Barrier; Rebate; Put or Call; In or Out; Barrier Monitoring; Greek)
Spot is the price / value of the underlying asset and should be greater than 0.0.
Volatility is the annual percentage volatility of the underlying asset expressed as a decimal (for example, enter 30% as 0.3). The value should be greater than 0.0.
Rate is the continuously compounded interest rate. This is a percentage expressed as a decimal (for example, enter 40% as 0.4).
Foreign Rate is the continuously compounded foreign interest rate. This is a percentage expressed as a decimal (for example, enter 50% as 0.5).
Maturity is the time to maturity of the option, in years, and should be non-negative.
Strike is the strike price of the option and should be non-negative.
Lower Barrier is the predetermined lower barrier price; set to zero for no lower barrier.
Upper Barrier is the predetermined upper barrier price; set to zero for no upper barrier.
Rebate is the amount of money to be paid at maturity if the barrier is hit.
Put or Call is a string that defines whether the option is a put (“p”) or a call (“c”).
In or Out is a string that defines whether the option is knock-in (“i”) or knock-out (“o”).
Barrier Monitoring is a string that defines whether the barrier is monitored continuously (“c”) or only at the end / maturity (“e”).
=OPT_BARRIER(30,0.2,0.06,0,1,40,25,0,0,"c","o","c") returns the value 0.4243.
=OPT_BARRIER(50,0.4,0.05,0,0.5,65,0,80,0,"p","o","c","e") returns the value 10.1585.