A namesake for the step double barrier option; a double barrier option that has yet additional non-standard features (as compared with standard double barrier options), particularly step double barriers and multiple barrier double touch/ no touch (as in multiple barrier double touch options/ multiple barrier no touch options). The common feature is embodied in evolution of the double barrier in time (as a piecewise constant variable).

More specifically, this option has its barriers both above and below the current underlying price that widen or narrow in steps (gradually) at a prespecified future date. In essence, double-barrier (double knock-out) options are deactivated (knocked out) when the underlying asset first reaches either the upper or the lower barrier. The step part will have the underlying asset price readjust gradually (according to some knock in or knock-out factor) over the option’s life. For example, a step double barrier call option might have a $100 strike, upper and lower barriers (U = 100, L = 80), and a daily knock-out factor of 0.92.

A hot-dog option reflects the fact that the double barrier is a step function of time.