d*******n
发帖数: 524 | 1 Let's say the barrier level of the option is H, then the option ceases to
exist if the asset price reaches H.
I am not sure if the option ceases permanently in this situation? In other words, if the asset
price drops down below H, will the option resume to exist again?
I thought the definition of up-and-out call meant once the asset price
reaches H, the option expires permanently.
However, John Hull gives an boundary condition for a sample up-and-out call
option on Page 542 in his book, which is | A****e
发帖数: 58 | 2 英文好长。。。
大概就是barrier monitoring的问题
连续monitor的continuous time的一碰到option就死了
discrete time的得在规定的时间碰到才out
words, if the asset
call
【在 d*******n 的大作中提到】
: Let's say the barrier level of the option is H, then the option ceases to
: exist if the asset price reaches H.
: I am not sure if the option ceases permanently in this situation? In other words, if the asset
: price drops down below H, will the option resume to exist again?
: I thought the definition of up-and-out call meant once the asset price
: reaches H, the option expires permanently.
: However, John Hull gives an boundary condition for a sample up-and-out call
: option on Page 542 in his book, which is
| d*******n
发帖数: 524 | 3 我问的不是barrier monitoring 是连续还是离散的问题。
首先我想确认的是我对up-and-out的理解，是不是说只要asset price一到H，这个
option就立刻死了，即使asset price跌到H 以下，option也不会再活过来？
【在 A****e 的大作中提到】
: 英文好长。。。
: 大概就是barrier monitoring的问题
: 连续monitor的continuous time的一碰到option就死了
: discrete time的得在规定的时间碰到才out
:
: words, if the asset
: call
| A****e
发帖数: 58 | 4 没错啊
continuous time的就是，碰到就死，这个bs world里面有解析解
discrete time的就未必，看一片continuity corection的paper有近似界
【在 d*******n 的大作中提到】
: 我问的不是barrier monitoring 是连续还是离散的问题。
: 首先我想确认的是我对up-and-out的理解，是不是说只要asset price一到H，这个
: option就立刻死了，即使asset price跌到H 以下，option也不会再活过来？
| d*******n
发帖数: 524 | 5 但是John Hull在他的书里给出讲的一个东西跟up-and-out的这个定义是相矛盾的，见
我原帖：
However, John Hull gives an boundary condition for a sample up-and-out call
option on Page 542 in his book, which is
f(S, 0.75) = max(S-50, 0) when S<60
f(60, t) = 0 when 0<=t<=0.75
where 0.75 is the maturity time, 60 is the barrier level, 50 is the strike
price.
If the asset price reaches 60 before t=0.75 and drops below 60 at the time 0
.75, according to the definition, its value at t=0.75 will be 0, different
from this boundary conditions g
【在 A****e 的大作中提到】
: 没错啊
: continuous time的就是，碰到就死，这个bs world里面有解析解
: discrete time的就未必，看一片continuity corection的paper有近似界
| A****e
发帖数: 58 | 6 是不是讲adaptive mesh model pricing discrete barrier?
不太记得了，没看出来这里有啥矛盾哈
f=max那个是有condition的，不是简单等于
call
0
【在 d*******n 的大作中提到】
: 但是John Hull在他的书里给出讲的一个东西跟up-and-out的这个定义是相矛盾的，见
: 我原帖：
: However, John Hull gives an boundary condition for a sample up-and-out call
: option on Page 542 in his book, which is
: f(S, 0.75) = max(S-50, 0) when S<60
: f(60, t) = 0 when 0<=t<=0.75
: where 0.75 is the maturity time, 60 is the barrier level, 50 is the strike
: price.
: If the asset price reaches 60 before t=0.75 and drops below 60 at the time 0
: .75, according to the definition, its value at t=0.75 will be 0, different
| d*******n
发帖数: 524 | 7 是讲 static options replication的。你可以自己翻书看看，在第6版的542页
我不知道你说的有condition是什么意思，不是简单等于还能怎么等于呢？
如果你说的condition是说S从t=0到maturity从来没有到过H，那么这个就不叫boundary
condition了。
如果这个里的S只是最终的S，那么这个boundary condition显然是错的！
【在 A****e 的大作中提到】
: 是不是讲adaptive mesh model pricing discrete barrier?
: 不太记得了，没看出来这里有啥矛盾哈
: f=max那个是有condition的，不是简单等于
:
: call
: 0
|
|
