can you have a "reverse down and out call"?
Posted: March 18th, 2013, 9:05 am
by koolad
Reverse barriers are defined as barrier options with KO/KI that are in the money?
http://www.mathfinance.de/seminars/risk ... t.pdfClark pg191
can you have a "reverse down and out call"?
Posted: March 19th, 2013, 1:38 am
by bearish
dupe
can you have a "reverse down and out call"?
Posted: March 19th, 2013, 1:38 am
by bearish
I guess you can make up any number of vaguely plausible definitions for terms like reverse barrier options, but the standard understanding is simply up-and-out calls and down-and-out puts. A down-and-out call where the barrier level is above the strike would have some of the characteristics of a reverse barrier option, in particular the possibility of unbounded delta, meaning that the option is cannot be replicated by a feasible trading strategy.