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Single Fixing Barrier Fade Option Valuation

Name: Single Fixing Barrier Fade Option Valuation
Creator: Lee, David
Keywords: Single Fixing Barrier Fade Option Valuation

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 14 Nov 2022 English Publisher:Zenodo

Authors: Lee, David;

doi: 10.5281/zenodo.7320190 , 10.5281/zenodo.7320191

Single Fixing Barrier Fade Option Valuation

- Summary
- Subjects
- Metrics

Abstract

A Single Fixing Single Barrier Fade In Option gives a European payoff at expiry if a contractually fixed single barrier has been knocked on a specified single fixing (observation) date and gives nothing if otherwise. The “Out” version gives nothing if the barrier is knocked and a European payoff otherwise.

https://finpricing.com/lib/EqBarrier.html

Keywords

Single Fixing Barrier Fade Option Valuation

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