Questions tagged [barrier-options]
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Pricing barrier options under risk neutral measure
I think this must be a really stupid question but I cannot see what I am missing.
Let's assume we're pricing some barrier option under Black -- Scholes model. Under risk neutral measure, the drift $\...
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What are the boundary conditions for an up-and-out binary call option of Bermudan type?
I know that an up-and-out binary call option of American type will never knock out if barrier is greater than the strike since the option stops immediately if the stock price touches the strike due to ...
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Vanna Volga Price of an Up and In Put
In the Vanna-Volga approach to pricing first generation exotics, such as single barriers, as I understand it the pricing is as follows:
Let $K,S_t < B$. I'll choose the ATM IV $I_{ATM}$ as the ...
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