Thanks, daveangel.I guess I figured it out: if I denote by G the event in which the trigger is touched the formula should bewhere everytning on the RHS is in trems of yen. The conditional expectation should provide the adjustment you mentioned.Does it look ok?Thanks,Yuri

<t>Hey all,I'd really appreciate a little help with the pricing of the following option:the payout is 1 euro paid at the end of a certain period if USD/JPY exchange rate gets belowsay 105 at any time during the period; 0 otherwise. And I'm talking TV, nothing fancy. I know how to price it if payout ...

<t>Can anyone please explain to me what's goinig on in Wystup's article?Given it's 4 pages long, the number of things in it I don't get is amazing.Part of it has to do with my unfamiliarity with hedging strategies. Why are we trying to hedge volga and vanna? What does it mean to unwind a hedge?Why d...