21) Analytic Solutions for Barrier Options Flashcards
(4 cards)
1
Q
What PDE and boundary conditions define a down-and-out European call option
A
2
Q
How can we use substitutions to simplify the PDE for a down-and-out call
A
3
Q
What is the analytic solution form for down-and-out and down-and-in calls
A
4
Q
What is the relationship between ‘in’ and ‘out’ barrier options
A
