Soluciones Holísticas para InterNet
EQUITY AND FX DERIVATIVES
BARRIER
Two assets Barrier Options
Heynen and Kat (1994)

Barrier Monitoring

 Two Asset Barrier Option Barrier Monitoring
Options

Asset Price One

 Up and In Call (cui) 0.0 Option Types

Asset Price Two

 Delta1 0.0 Up and In Call (cui) Continuous

Strike Price

 Delta2 0.0 Up and In Put (pui) Hourly

Barrier

 Gamma1 0.0 Up and Out Call (cuo) Daily

Time to Maturity

 Gamma2 0.0 Up and Out Put (puo) Weekly
RiskFree Rate Rho 0.0 Down and In Put (pdi) Monthly
Dividend Yield Asset One Theta 0.0 Down and In Put (pdi)
Dividend Yield Asset Two Down and Out Call (cdo)
Volatility of Asset One Down and Out Put (pdo)
Volatility of Asset Two
Correlation