<r>Hi erstwhile, JanDash and wayone.First of all, I want to thank you very much for your efforts and help.Secondly, thanks to ancast, who gave a right reference to the solution in the other threat, the closed-form solution was found.It can be downloaded here:<URL url="http://www.clearingrisk.com/res...

<t>erstwhile,your last post is exactly what I am looking for. 1.18 is knock-in for one-touch 1.23JanDash,Thanks for putting your attention to the challange. I do think it is an interesting problem and it sounds strange it is so hard to find a closed solution. These kind of options on currency are tr...

Hi,In this case also 0.Best,webshark

path 1: neither barrier is hit - 0path 2: 1.23 barrier is hit and then 1.18 barrier is hit - 0path 3: 1.18 barrier is hit and then 1.23 barrier is hit - 1path 4: 1.23 barrier is hit but not the 1.18 barrier - 0

<t>Hi erstwhile,Sorry for establishing a confusion.And it is definitly not a joke.As I posted before I am looking for the one-touch knock-out, but it is very easy to get it's price once you know one-touch knock-in.So my last post, in order to simplify things, was for the one-touch knock-in. If you c...

<t>Let's put it this way in order to avoid listing all possible scenarious:What is the price of the option that pays $1mm if it first touches lower barrier and later higher barrier?If it touched the higher barrier (and the lower before it) you get the payoff (at the maturity) regardless of the furth...

erstwhile, there is no contradictionthe confusion is that there are two possibilities1. 1.18 is hit before the 1.23 is hit - knocked-out no payment2. 1.18 is hit after the 1.23 is hit (and not before) - get millionActualy if you hit 1.23 than the 1.18 barrier expiresHope it explainsthanks

<t>Dear erstwhile,I am very grateful that you asked the clarification in such an elegant form and I hope the answer below will define the option's terms in the clearest way (sorry I not presented it in that way from the beginning):path 1: neither barrier is hitpath 2: 1.23 barrier is hit and then 1....

<t>wayone and erstwhile thank you very much for your responses.I would like to emphasize again that the trigger expires after the touch.Will be grateful to the Wilmott Community if someone can post a closed form solution to the price of the One Tounch with Knock-Out Option.Thank you in advance,websh...

<t>Does anyone know pricing formula of one-touch knock out (till touch - once one barier was touched it eliminates the other barrier).Here is the example of the option I am trying to price:One-touch 1.23 EUR/USD Knock-out 1.18. Payoff $1M.To get the payoff EUR/USD must touch 1.23 and not touch 1.18....

<t>HiI would say that there are two possiblitities:1. Use market risk tolerance of 1/2.Thus Buffet is 1.2. Given market portfolio let say S&P500 make reverse engenieering and ask yourself given historical returns what should be risk tolerance to get the current asset capitalization in the index....

I was trying to download the API for .NET at the WAPI website, but I experienced a technical problem to download it.Did anybody success to download it? I want to figure out if it is a problem with my station or Bloomberg has a temporal problem.Thanks,Michael

I think that dynamic strategy is required, maybe by using Black-Litterman framework and good macro expert inputs ("views"). One should consider emerging markets in allocation as well.