Forums > Basics > double touch

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 nikol Total Posts: 1457 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. Capital Structure Demolition LLC
 nikol Total Posts: 1457 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: 1457 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=984808Need 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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