A double binary option - thanks for your help

Something I haven't met before: maybe they are very commonplace.I have an option(European) which pays out a fixed amout if both currency pairs are equal or below a trigger quanties at expiry- USD is common to both. Any ideas appreciated how to price. Thanks

yeah, the spread is added to the LHS index from the quote, 1m vs. 6m add to 1mL; just seems to be the market convention. CP VS. 3mL add to CP rate

Thx for that, is it possible when valuing the down and in put to include a fixed rebate if the option has not been knocked in

You could go short dispersion to hedge, but that is fraught with danger...you are selling individual vols..leaves oneself open to the unexpected

Hi, Has anyone any links to papers on pricing reverse convertible notes with a barrier. Thx

Hi, Does anyone know where you would get details on the latest Lev X version no. (both senior and sub) and the constituents. Thx

Iam marking to market some Bermudans using a straightforward 1 factor HW(diagonal euro swaption vols).What would be a reasonable margin of error(in terms of vega) with some of the more complex models?My first post here: be nice!Thanks in advance