Exotic Options Valuation
Spot Price (S):
Strike Price (K):
Barrier Level (H):
ℹ️
The price level that triggers the barrier condition (knock-in or knock-out).
Time to Maturity (T, years):
Risk-Free Rate (r):
ℹ️
Typically the 1-year or 2-year U.S. Treasury yield (e.g., ~4.5%-5.0% for sugar contracts in 2026).
Volatility (σ):
Option Type:
Call
Put
Barrier Type:
ℹ️
Up-and-Out:
Knocks out if price ≥ H.
Down-and-Out:
Knocks out if price ≤ H.
Up-and-In:
Activates if price ≥ H.
Down-and-In:
Activates if price ≤ H.
Vanilla
Up-and-Out
Down-and-Out
Up-and-In
Down-and-In
Calculate Option Price & Greeks