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Questions tagged [barrier-options]

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Artifically creating Barrier option

I am looking for some insights on how a Barrier option payoff can be replicated either with Plain vanilla options. In Chapter 25, Hull has provided one such example to replicate a Up and Out Barrier ...
Daniel Lobo's user avatar
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Autocallables - valuation/modelling/booking

Recently heard a view on how one should model/book autocallable swaps (in its basic form where there is a series of observation dates on which the product autocalls and there is exposure to the ...
eMe's user avatar
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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 $\...
Jack's user avatar
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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 ...
Meraki's user avatar
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3 votes
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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 ...
Frido's user avatar
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