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Pat
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Joined: September 30th, 2001, 2:08 am

FX barrier options

December 7th, 2017, 9:42 pm

Does anyone recall the standard way of pricing barrier options ? The way the street does it, as opposed theory
 
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Cuchulainn
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Re: FX barrier options

December 8th, 2017, 8:59 am

my 2 cents

My guess is quants use numerical methods such as Crank Nicolson + workarounds a lot, at least for equities. It's fast and accurate (in the main). I reckon any method must be fast and accurate?

Maybe there is a better method. I don't know, myself.
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Martinghoul
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Re: FX barrier options

December 8th, 2017, 10:51 am

I was under the impression that the bog standard methods that prevail in FX and have been covered by Wystup dominate.  I may be wrong abt that.
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