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Barrier options
QuoteOriginally posted by: CheeHow about window barrier option???Can I apply a similar formula to it???Or is there other better way of pricing a window barrier option???(Window barrier option specify an active barrier period)Yes, you can and a formula would be similar, but each time your boundary conditions are changed you need to solve corresponding problem with new initial condition, that is a final point of a previous problem. As I understand it could be 5 problems in a row: 2B-1B-vanilla-1B-2B.You should have a good reason to do this job.
Barrier options
hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise
Barrier options
hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise
Barrier options
hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise
Barrier options
hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise
Barrier options
hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise