Discrete Window Barrier Option

Derivatives
Quanto Factor
August 7, 2022
Derivatives
Quanto Basket Digital Option
August 7, 2022

A window barrier option whose barrier level can be set and allowed to change deterministically, while the monitoring/ observation points can be set at equal or unequal distance to each other over the lifespan of the option.

The performance of the option, relativity of its underlying and barrier level, will be observed at the discrete points all along its term, in order to determine its payoff.

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