QuantLib - Pricing Single barrier Option

Pricing Single barrier Option

Posted by Paulo Roberto Lagrotta on
URL: http://quantlib.414.s1.nabble.com/Pricing-Single-barrier-Option-tp16625.html

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.

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