a*******e
发帖数: 60 | 1 sketch the value of a call option with a barrier above the strike.
Approximately what will the sensitivities(Delta and Gamma) look like when
the spot is close to the barrier? |
a*******e
发帖数: 60 | 2 2.Prove:European options with longer expiry data has larger value.assume no
dividend.(Don't use American options argument) |
r**a
发帖数: 536 | 3 suppose the call is down-out call. The payoff can be decomposed as a vanilla
call with strike B(barrier) and (B-K) times a digital call with strike B
too. Then use the static hedge to price the barrier.
For the delta and gamma, i guess in your case, they would be close to zero.
Note I did not do the calculation here. So my answer would be wrong.
【在 a*******e 的大作中提到】
: sketch the value of a call option with a barrier above the strike.
: Approximately what will the sensitivities(Delta and Gamma) look like when
: the spot is close to the barrier?
|
C***m
发帖数: 120 | 4 你说的这两个option也都是down-out的吧，用什么来replicate这两个，谢谢。
vanilla
【在 r**a 的大作中提到】
: suppose the call is down-out call. The payoff can be decomposed as a vanilla
: call with strike B(barrier) and (B-K) times a digital call with strike B
: too. Then use the static hedge to price the barrier.
: For the delta and gamma, i guess in your case, they would be close to zero.
: Note I did not do the calculation here. So my answer would be wrong.
|
r**a
发帖数: 536 | 5 See http://www.mitbbs.com/article3/Quant/31313667_3_tp.html and follow-ups.
【在 C***m 的大作中提到】
: 你说的这两个option也都是down-out的吧，用什么来replicate这两个，谢谢。
:
: vanilla
|
