Questions tagged [barrier]

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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 ...
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How to price a barrier using monte carlo when return distribution is not iid?

this question is actually related to set the stop loss and stop return. Say after a liquidity shock, I want to place two stops, one being stop loss and another being stop return. If I use, say 10 ...
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Probability of Brownian motion particle touching barrier given path starts at $X_0$ and ends at a known $X_t$

I have been reading Su and Rieger's paper on barriers and from there have been able to work out the unconditional probability of the process $dXt = μ dt + σ dWt$ touching a down barrier $α$ to be $\...
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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 ...