J**********y
发帖数: 1891 | |
z****u
发帖数: 185 | 2 1 knock-in + 1 knock-out = 1 call
both knocks at the same level |
J**********y
发帖数: 1891 | 3 oh, I see.
那么有没有可能用普通的option复制down and out 呢？ |
z****u
发帖数: 185 | 4 yes if you assume the stock level moves continuously and does not jump.
not too complicated, but tedious to show.
【在 J**********y 的大作中提到】
: oh, I see.
: 那么有没有可能用普通的option复制down and out 呢？
|
J*****n
发帖数: 4859 | 5
important assumption is no skew.
【在 z****u 的大作中提到】
: yes if you assume the stock level moves continuously and does not jump.
: not too complicated, but tedious to show.
|
z****u
发帖数: 185 | 6 no, no need to assume 0 skew.
important assumption is no skew.
【在 z****u 的大作中提到】
: yes if you assume the stock level moves continuously and does not jump.
: not too complicated, but tedious to show.
|
J**********y
发帖数: 1891 | 7 有没有intuitive的办法来说明普通的call就能复制down-and-out,
因此包含down-and-out的功能呢？ |
h*y
发帖数: 1289 | 8 You can use regular options with different maturities to match the payoff of
a barrier option at the boundary.
Hull's book has some brief description and Derman's paper has the detail. |
t**********a
发帖数: 166 | 9 Can check the book by Mark Joshi as well
of
【在 h*y 的大作中提到】
: You can use regular options with different maturities to match the payoff of
: a barrier option at the boundary.
: Hull's book has some brief description and Derman's paper has the detail.
|
J*****n
发帖数: 4859 | 10
OK, you are talking different method.
Simple way is to use pus call symmetric property, which requires no skew.
【在 z****u 的大作中提到】
: no, no need to assume 0 skew.
:
: important assumption is no skew.
|
J**********y
发帖数: 1891 | 11 how? could you please elaborate? |
