Questions tagged [barrier]

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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 ...
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1answer
138 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 ...
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1answer
106 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 ...
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2answers
220 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 ...