European Knock-Out

A European Knock-Out is a Vanilla option where the Knock-Out barrier only exists on the expiry date at expiry time, i.e., the option ceases to exist if:

• for "up & out" barriers: The spot rate ends above the KO level

• for "down & out" barriers: The spot rate ends below the KO level

It must be noticed that a European Knock-Out is also a European Knock-In: an "up & out" is equivalent to a "down & in" and a "down & out" is equivalent to an "up & in".