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- lgianferrari
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two barriers option
Dear all,If I have a two-barrier option (say, up out and down out), Wilmott says that should be priced with Fourier techniques. Can't they be priced likeup in + up out and down out + down in = vanilla, like in+out = vanilla?
Last edited by lgianferrari on September 16th, 2007, 10:00 pm, edited 1 time in total.
two barriers option
Well, you can say {up&out and down&out option} + {up&in and down&in option} = {vanilla option}, but you still have to price a two-barrier option.
two barriers option
There is a semi analytic formula available freely. It's an infinite sum of simple terms.
two barriers option
By the way, u can't price through a simple no-arbitrage formula involving single barrier.
