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In finance, a barrier option is an exotic derivative typically an option on the underlying asset whose price reaching the pre-set ''barrier level'' either springs the option into existence or extinguishes an already existing option. *Where the option springs into existence on the price of the underlying asset breaching a barrier, it may be known as an "up and in," "knock-in," or "down and in" option. *Where the option is extinguished on the price of the underlying asset breaching a barrier, it may be known as an "up and out," "knock-out," or "down and out" option. Barrier options are always cheaper than a similar option without barrier. Thus, barrier options were created to provide the insurance value of an option without charging as much premium. For example, if you believe that IBM will go up this year, but are willing to bet that it won't go above $200, then you can buy the barrier and pay less premium than the vanilla option. ==Types== Barrier options are path-dependent exotics that are similar in some ways to ordinary options. You can call or put in American, Bermudan, or European exercise style. But they become activated (or extinguished) only if the underlying reaches a predetermined level (the barrier). "In" options start their lives worthless and only become active in the event that a predetermined knock-in barrier price is breached. "Out" options start their lives active and become null and void in the event that a certain knock-out barrier price is breached. If the option expires inactive, then it may be worthless, or there may be a cash rebate paid out as a fraction of the premium. The four main types of barrier options are: *Up-and-out: spot price starts below the barrier level and has to move up for the option to be knocked out. *Down-and-out: spot price starts above the barrier level and has to move down for the option to become null and void. *Up-and-in: spot price starts below the barrier level and has to move up for the option to become activated. *Down-and-in: spot price starts above the barrier level and has to move down for the option to become activated. For example, a European call option may be written on an underlying with spot price of $100 and a knockout barrier of $120. This option behaves in every way like a vanilla European call, except if the spot price ever moves above $120, the option "knocks out" and the contract is null and void. Note that the option does not reactivate if the spot price falls below $120 again. ''Once it is out, it's out for good''. Also note that once it's in, it's in for good. In-out parity is the barrier option's answer to put-call parity. If we combine one "in" option and one "out" barrier option with the same strikes and expirations, we get the price of a vanilla option: . A simple arbitrage argument—simultaneously holding the "in" and the "out" option guarantees that exactly one of the two will pay off identically to a standard European option while the other will be worthless. The argument only works for European options without rebate. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Barrier option」の詳細全文を読む スポンサード リンク
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