Abstract: In this paper,firstly,a kind of exotic options——Up Knock-out Option and its pricing model are dissertated;then,a new lattice approach to solve the model is put forward.In addition,the approach is extended to solve a double-barrier option pricing.At last,examples and empirical analysis which indicate the validity and fast convergence of the approach are provided.

Key words: exotic options, up-knock-out option pricing model, new lattice approach