QuantLib › quantlib-users

Pricing Single barrier Option

Classic

List

Threaded

4 messages Options

Paulo Roberto Lagrotta

Pricing Single barrier Option

Hi everybody,

Is possible price a single barrier equity option using volatility skew surface?

I already tried using BlackVarianceSurface to price a Call UpOut with strike 100 and barrier @ 110. Price is not sensitive if change the skew.

Thanks in advanced.

------------------------------------------------------------------------------

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

cheng li

答复: Pricing Single barrier Option

Hi Paulo,

What is the pricing engine you are using? If it is FdBlackScholesBarrierEngine I think there is a flag called localVol to turn on the local volatility surface?

Regards,

Cheng

发件人: Paulo Roberto Lagrotta [mailto:[hidden email]]
发送时间: 2015年6月5日 7:19
收件人: [hidden email]
主题: [Quantlib-users] Pricing Single barrier Option

Hi everybody,

Is possible price a single barrier equity option using volatility skew surface?

I already tried using BlackVarianceSurface to price a Call UpOut with strike 100 and barrier @ 110. Price is not sensitive if change the skew.

Thanks in advanced.

Paulo Roberto Lagrotta

Re: Pricing Single barrier Option

Hi Cheng,

Thanks for previous comment.

I’m trying using FdBlackScholesBarrierEngine but I receive “'FdBlackScholesBarrierEngine' is not defined”

I’m using Python QuantLib 1.2 version.

Any idea?

Regards

From: Cheng Li [mailto:[hidden email]]
Sent: Thursday, June 4, 2015 10:33 PM
To: 'Paulo Roberto Lagrotta'; [hidden email]
Subject: 答复: [Quantlib-users] Pricing Single barrier Option

Hi Paulo,

What is the pricing engine you are using? If it is FdBlackScholesBarrierEngine I think there is a flag called localVol to turn on the local volatility surface?

Regards,

Cheng

发件人: Paulo Roberto Lagrotta [[hidden email]]
发送时间: 2015年6月5日 7:19
收件人: [hidden email]
主题: [Quantlib-users] Pricing Single barrier Option

Hi everybody,

Is possible price a single barrier equity option using volatility skew surface?

I already tried using BlackVarianceSurface to price a Call UpOut with strike 100 and barrier @ 110. Price is not sensitive if change the skew.

Thanks in advanced.

cheng li

答复: Pricing Single barrier Option

Emm… I think it is not currently export to Python yet. You have to add it to swig by yourself.

Regards,

Cheng

发件人: Paulo Roberto Lagrotta [mailto:[hidden email]]
发送时间: 2015年6月7日 7:45
收件人: 'Cheng Li'; [hidden email]
主题: RE: [Quantlib-users] Pricing Single barrier Option

Hi Cheng,

Thanks for previous comment.

I’m trying using FdBlackScholesBarrierEngine but I receive “'FdBlackScholesBarrierEngine' is not defined”

I’m using Python QuantLib 1.2 version.

Any idea?

Regards

From: Cheng Li [[hidden email]]
Sent: Thursday, June 4, 2015 10:33 PM
To: 'Paulo Roberto Lagrotta'; [hidden email]
Subject: 答复: [Quantlib-users] Pricing Single barrier Option

Hi Paulo,

What is the pricing engine you are using? If it is FdBlackScholesBarrierEngine I think there is a flag called localVol to turn on the local volatility surface?

Regards,

Cheng

发件人: Paulo Roberto Lagrotta [[hidden email]]
发送时间: 2015年6月5日 7:19
收件人: [hidden email]
主题: [Quantlib-users] Pricing Single barrier Option

Hi everybody,

Is possible price a single barrier equity option using volatility skew surface?

I already tried using BlackVarianceSurface to price a Call UpOut with strike 100 and barrier @ 110. Price is not sensitive if change the skew.

Thanks in advanced.