• David Lee deposited Two Asset Barrier Option Valuation Model in the group Group logo of Public HumanitiesPublic Humanities on Humanities Commons 2 years, 6 months ago

    We present a valuation model for pricing two asset barrier options on commodity futures. Applications to commodity futures have a number of specific. The analytical valuation formulas are also implemented. The payoff of a two asset barrier options is made against one of the assets, while the other asset is used to trigger the barrier.