nikol
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| Total Posts: 1360 |
| Joined: Jun 2005 |
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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?
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... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c) |
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Patrik
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| Founding Member |
| Total Posts: 1375 |
| Joined: Mar 2004 |
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| Give DNT, double no-touch a spin. |
Capital Structure Demolition LLC  |
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nikol
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| Total Posts: 1360 |
| Joined: Jun 2005 |
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| [duplicate] |
... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c) |
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nikol
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| Total Posts: 1360 |
| Joined: Jun 2005 |
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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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