Questions tagged [barrier]

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1answer
5k views

Barrier option (autocallable) Vega profile

I have a question about the Vega profile(graph) on an autocallable option. Generally for a regular option, the vega graph looks like a normal (kinda normal) distribution with the vega highest at-the-...
0
votes
1answer
308 views

Strange Delta for FX Down And Out Call, Strike below Barrier

Based on this text about FX options on pages 139, 141 and 145 I'm trying to compute the delta of a down and out call with the strike below the barrier. Here is a quick and dirty Python code (I assume ...
3
votes
1answer
206 views

Barrier Derivative Pricing

Assume constant interest rate $r$ and a stock with current price at $S_0$ that pays no dividend (assume $S_t\ge0$). When the stock price hits the barrier $B$ (where $B<S_0$) you receive \$$1$ and ...
0
votes
2answers
320 views

Valuation of FX vs. Commodities Barrier Options

With reference to my previous question about the computation of a barrier option delta, @LocalVolatility referenced a nice closed form solution to value barrier options on a stock paying a dividend ...
0
votes
0answers
1k views

What exactly does shifting a barrier in a barrier option mean and how does it hedge delta?

How exactly is shifting the barrier to hedge delta implemented in case of barrier options. Is it just changing the barrier, if so, how does it hedge delta or is it making the barrier a range like a ...
0
votes
1answer
141 views

Pricing Secured Barrier Call

A European barrier call with barrier $B = 50$, expiration $T = 31$, and strike $K = 33$ costs $12$. The investor is interested in a product that, unlike this barrier call, offers some protection for ...
-1
votes
2answers
106 views

One touch UP no touch DOWN, One touch DOWN no touch UP [closed]

I was reading about exotic options and I came across something new. One touch down no touch up option and the other one I saw was One touch up no touch down option. I would like to understand how it ...