# 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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### PDE of barrier and lookback options

In Shreve's book, he obtain the PDE of barrier option by Payment function $$V(T) = (S(T) - K)^+\mathbb{II}_{\{S_{\textrm{max}}(T) > B\}}$$ Then use the risk neutral pricing formula and Markov ...
120 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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### Clarification on the payoff of a portfolio consisting of a long Up&In Put and short Up&In Call

I am trying to make sense of this example: I'm not following the second line in red: "If you buy an up-and-in put and sell an up-and-in call, the payoff is the strike price minus the stock price ...
673 views

### What is the probability that a Brownian Bridge hits an upper barrier $U$ before a lower barrier $L$?

The probability that an arithmetic Brownian motion process $dt = \mu dt + \sigma dW$ hits an upper Barrier $U$ before it hits a lower barrier $L$ is given by  \mathbb{P}(\tau_U\leq \tau_L) = \frac{\...
What is the probability that the arithmetic OU process $dx_t= \theta(\mu-x_t)dt+\sigma dW_t$ hits barrier $U$ before hitting barrier $L$ when $L<x_0<U$ ?