The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
0answers
21 views

Valuation of barrier options in Jump diffusion model

I am trying to evaluate the value of a Barrier option using Monte carlo method. The stock follows a jump diffusion model. I am using the method described in Metwally and Atiya. The authors describe ...
0
votes
0answers
116 views

Question on Barrier Option and Skew

If you bought an Equity Call Option with a Down-and-In Barrier, are you Long Skew or Short Skew? Please provide explanation as well. Thanks.
4
votes
0answers
89 views

Simple way to get the crossing probabilities of a moving barrier

Hello Quant Finance StackExchange, Is there a simple way to find the crossing probabilities of a moving barrier, namely a barrier written in the form $U(t)=\alpha_1t^2 + \beta_1t + \gamma_1$ and ...