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kelang
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Posts: 5
Joined: November 14th, 2011, 4:53 pm

fx barrier option on bloomberg

February 13th, 2013, 8:19 pm

Hi All,May I ask a question about market convention of FX barrier option (double-knock-in or out)? For pricing American monitoring option, are they priced as if monitored continuously or daily-discrete? I am trying to match Bloomberg's number (under local vol settings). It seems that I can only match them by assuming daily discrete monitoring? : (Anyone has any experience with that?Thanks,
 
User avatar
kelang
Topic Author
Posts: 5
Joined: November 14th, 2011, 4:53 pm

fx barrier option on bloomberg

February 14th, 2013, 1:55 pm

case closed. thanks it is continuously monitored not daily discrete, and i mis-read their two-way pricing numbers with mid-pricing number, matched them.QuoteOriginally posted by: kelangHi All,May I ask a question about market convention of FX barrier option (double-knock-in or out)? For pricing American monitoring option, are they priced as if monitored continuously or daily-discrete? I am trying to match Bloomberg's number (under local vol settings). It seems that I can only match them by assuming daily discrete monitoring? : (Anyone has any experience with that?Thanks,