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David Lee deposited Double Window Barrier Option Valuation in the group
Public Humanities on Humanities Commons 2 years, 3 months ago We offer a hybrid (trinomial tree plus semi-analytic formulas) pricing method for FX Double Window Double Barrier option . Currently, the model uses spot implied volatility for the first time window, and forward implied volatility for the second time window. These are Black-Scholes implied volatilities from traded vanilla European options, but, while desired, usage of different volatilities based on strike or barrier moneyness directly within the tree is difficult to achieve.