Pricing a barrier option

smarttrader · August 25th, 2011, 3:44 am

Hi All,Dont know whether this is d right forum to ask this question but still giving a try. My question is on pricing a barrier option. Below is the specificationTenor: 36MKnock Up and Out Barrier Level: 170% of underlyingRebate : 60% if barrier is hitBarrier Observation : MonthlyIf Barrier is not hit then you get 180% participation of underlying.Lets say underlying is SPX. What is the fair value of this barrier option? Please reply

TinMan · August 25th, 2011, 6:40 am

Maybe code it up and find out.

smarttrader · August 25th, 2011, 11:08 am

TinMan: Can you help on this?

drone · August 25th, 2011, 11:27 am

I sent you a pvt message smarttrader..see if that helps..

smarttrader · August 26th, 2011, 3:43 am

can't open the .rar file. could u please send the .xls seperately...if u don't mindThanks in advance for your help.

drone · August 26th, 2011, 5:54 am

pm me your email id and I will mail you the file