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by Megeve
January 25th, 2023, 2:37 pm
Forum: General Forum
Topic: Pricing Option with Knock Outs on Realised Volatility
Replies: 3
Views: 581

Re: Pricing Option with Knock Outs on Realised Volatility

For instance say 3 month spx 95% puts with 25 vol knock out on realised volatility.   I have been using DLIB in Bloomberg and was just wondering what else was out there?
by Megeve
January 24th, 2023, 1:58 pm
Forum: General Forum
Topic: Pricing Option with Knock Outs on Realised Volatility
Replies: 3
Views: 581

Pricing Option with Knock Outs on Realised Volatility

Hi,

Does anyone know of any other solution to pricing these other than Monte Carlo?

Thanks!