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Fade Option Valuation

Name: Fade Option Valuation
Creator: Lee, David
Keywords: Derivative securities, Derivative securities--Valuation, Foreign exchange, Options (Finance), Pricing

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2023 English Publisher:Humanities Commons

Authors: Lee, David;

doi: 10.17613/cswe-gf02 , 10.17613/k9czg-32w32

Fade Option Valuation

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Abstract

We present a pricing model for fade option. A fade option can be more precisely named as “point-barrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.

Keywords

Derivative securities, Derivative securities--Valuation, Foreign exchange, Options (Finance), Pricing

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