Question: A barrier COD option is like a COD except that payment for the option occurs whenever a barrier is struck. Price a barrier COD put

A barrier COD option is like a COD except that payment for the option occurs whenever a barrier is struck. Price a barrier COD put for the same values as in the previous problem, with a barrier of $95 and a strike of $90. Compute the delta and gamma for the paylater put. Compare the behavior of delta and gamma with that for a COD. Explain the differences, if any.

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In the same way as the COD the paylater is priced initially using 0 BSPut S 0 K rT P DR S 0 K rT H T... View full answer

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