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Pricer for Barriers with partial berrier obs period
Hi there,Could you please tell me whether or not the closed formula for Barriers with partial barrier observation period exists?I mean by partial barrier observation period that barrier is monitored in a sub period until the option maturity.e.g. for 5 yr option,barrier is monitored ONLY from yr 1 to yr 4 (i.e. 3yrs)I have made a monte carlo pricer but want a muck quicker one...Thanks in advance,tomtom
Pricer for Barriers with partial berrier obs period
Zhang, Exotic OptionsAnd beware of typos.M.
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- Cuchulainn
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Pricer for Barriers with partial berrier obs period
The Collector has a section on this in his Options book (2007). QuoteI have made a monte carlo pricer but want a muck quicker one...FDM, much faster.
Last edited by Cuchulainn on August 18th, 2009, 10:00 pm, edited 1 time in total.
Pricer for Barriers with partial berrier obs period
marpa/CuchulainnThanks a lot. I will take a look.>FDM, much faster.Exactly!! But I'm a quick and dirty guy:-)tomtom
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- Cuchulainn
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Pricer for Barriers with partial berrier obs period
QuoteOriginally posted by: tomtommarpa/CuchulainnThanks a lot. I will take a look.>FDM, much faster.Exactly!! But I'm a quick and dirty guy:-)tomtomIt's always good to have a number of solutions to the problem Are you using multi-core?
Last edited by Cuchulainn on August 19th, 2009, 10:00 pm, edited 1 time in total.