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nikol


Total Posts: 1377
Joined: Jun 2005
 
Posted: 2021-06-08 13:20
Looking for pricing of double touch (hit at High and at Low) binary options. If both are not touched, nothing is paid.
May be they are named differently?



... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

Patrik
Founding Member

Total Posts: 1376
Joined: Mar 2004
 
Posted: 2021-06-08 15:31
Give DNT, double no-touch a spin.

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nikol


Total Posts: 1377
Joined: Jun 2005
 
Posted: 2021-06-08 20:35
[duplicate]

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

nikol


Total Posts: 1377
Joined: Jun 2005
 
Posted: 2021-06-08 20:40
No, I am not talking about DNT.

By the way, DNT.
DNT is solved (Hui, 96). Serial sum. Converges quickly, but really need something simpler. Close form approximation would be fine. I saw some proposals to use clipping at Spot ~ (High or Low), but not happy with it.

[Hui,96] https://papers.ssrn.com/sol3/papers.cfm?abstract_id=984808

Need the same for "Double touch". I started to explore it myself, so found a link between DT and DNT in terms of probability space:

DNT = DT - I(St ≤ L)*I(tau_H ≤ T) - I(H ≤ St)*I(tau_L ≤ T)
(apparently, it must be that I(St ≤ L)*I(H ≤ St)=0 )

tau is first hitting time.

Thank you for reply.

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)
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