Hiwystup has given the analytical solution for the above kind of option where strike is same. I need to price two currency asset, different strike best of/ worst of option. Please help me in this regard. Thanks

The simplest and general approach to calculate greeks is finite difference method. Monte Carlo is used to calculate the effect of changed parameter.

what are building blocks of KIKO and how to price it?

That was a good stuff, Dave.Please give suggestions on the following point."We have digital risk when there is a chance of loosing all the +ve money (it there is any) at the barrier."

thanks davehow up and in behavior dominates at the barrier? and how digital risk is defined for UIC and DIP?

Up and out Call (UAOC), Down and Out Put (DAOP) have digital risk. What about Up and In Call (UAIC) and Down and In Put (DAIP), do they also have digital risk?

yup, you are right, using vega is another method of spread calculation. But what about higher adjustment in this case? However if you calculate premium spread using Blacksholes, these adjustment might not be needed.

How to incorporate special day volatility in the interpolation?

I think these margins depend on volatility of the underlying and confidence interval.Can somebody give the formulation?

Is BlackScholes premium calculation is perfect in this case?

<t>The main problem in pricing Target Redemption Forwards (FX-TARF) using tree method is to apply target condition. We have used Monte Carlo for TARF pricing that gives reasonable result but it works for constant volatility only. To apply volatility smile effectively we are thinking about using Tree...

thanks gjk..... internet seems to be deprived of Sali-Tree methodologies....

thanks mjcould you please give me some reference material?

<t>HiI want to price target redemption note using tree methods. The product is a Dual Currency Deposit (DCD) which has payoff = 2*Call - Put. Let's say there are n-number of fixings (where we calculate the payoff) and maximum payoff of max_P.If sum of all the payoffs (from fixings) reaches maximum p...

I am using arrays. Code is in Visual Basic. However the point is how to reduse the number of nodes?