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Double Barrier Option

Options that depend not only on the final asset value but also on whether either one of two barrier levels, a lower barrier which is below the value of the underlying, and a upper barrier which is above the value of the underlying, were touched at some time during the life of the option (making the payoff path dependent). There are two types of double barrier options, a knock in or a knock out.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.