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loliba
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Joined: November 22nd, 2004, 6:45 am

trigger issue

November 22nd, 2004, 9:36 am

hi all ! could i have help on trigger issue ? how to price trigger product ( a cap or a swap ) ?
 
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Antonio
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Joined: June 30th, 2004, 3:13 pm
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trigger issue

November 22nd, 2004, 1:53 pm

It depends on how you want to price your product : - if you use PDE, then trigger issues will appear as boudary conditions on your grid- if you use Monte Carlo, then at each time step, you will have to check the trigger conditions