The Research on the Pricing of Double Barrier Option Based on the Black-Scholes Model

Xuanting Liao; Jiawei Zhuang

doi:10.54691/bcpbm.v37i.3582

Authors

Xuanting Liao
Jiawei Zhuang

DOI:

https://doi.org/10.54691/bcpbm.v37i.3582

Keywords:

barrier option, data calculation.

Abstract

The two barrier values in the double barrier option are the focus in the evaluation simulation and they affect the knock-in and knock-out of the option. This paper, simulates a double barrier option and calculates its option value based on the Black-Scholes Model, using Coca-Cola stock data from January 2022 to the end of July, and verifies the feasibility of the Black-Scholes model. This paper also analyzes the sensitivity of the influence of the two barrier values on the option value, outlining the option value changes under different barrier values. The main finding of this paper is that the Black-Scholes formula is used to verify the value of the Coca-Cola option product. This study enriches the practical examples of the validation of double barrier option products in the Black-Scholes formula.

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