A double barrier option that has yet additional non-standard features (as compared with standard double barrier options), including step double barriers (as in step double barrier options) and multiple barrier double touch/ no touch (as in multiple barrier double touch options/ multiple barrier no touch options). The common feature is embodied in evolution of the double barrier in time (as a piecewise constant variable). A step double barrier option reflects the fact that the double barrier is a step function of time.
These variations provide more flexibility than standard double barrier options. The options, as exotic features, can be embedded in a variety of structured products, such as range notes and loans (also known as tunnel notes and loans), tower notes and loans (aka wedding cakes or nested options/ onion options), or range forward contracts.
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