A double barrier option in which the underlying consists of two assets. The option’s double barrier (upper and lower barriers- i.e., the range) is applied to the two assets at the same time, but in two different mechanisms. The option will knock in or out when one of the underlying asset prices (rates) breaks through the double barrier. In this option, one of the underlying assets determines how much the option is in-the-money or out-of-the-money, while the other is associated with the double barrier trigger (i.e., it determines whether the option’s underlying has crossed or breached the double barrier).
January 31, 2024