In this note we discuss and summarize the valuation methodology for Double barrier Cash or Nothing Options. We start off by briefly defining vanilla binary options and ordinary and double barrier options. We then move on to the valuation and price dynamics of the option at hand. After that we...

Monte Carlo simulation or probability simulation is a technique used to understand the impact of risk and uncertainty in financial and other forecasting models. It is very useful when complex financial instruments need to be priced. Exotic options are listed on the JSE on its Can-Do platform....

The use of finite difference methods for solving PDEs on a computer goes back almost to the 1950s since its invention. In finance, these methods were introduced in the 1970's after the derivation of the Black-Scholes model. The sophistication of these methods in finance has become a field of...

Can-Do Options are derivative products listed on the JSE's derivative exchanges -- mostly equity derivative products listed on Safex and currency derivative products listed on Yield-X. These products give investors the advantages of listed derivatives with the flexibility of over the counter...

Can-Do Options are derivative products listed on the JSE's derivative exchanges -- mostly equity derivative products listed on Safex and currency derivative products listed on Yield-X. These products give investors the advantages of listed derivatives with the flexibility of "over the counter"...

In turbulent and volatile markets options can be a preferred asset class for protection against adverse market movements. When volatility increases and markets become sparsely traded, it is not always effective to hedge adverse market movements using any option. Options, where the underlying is...

Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and uncertain investment returns. Financial institutions therefore, usually opt to hedge their investment portfolios against the high volatility using a suitable hedging structure. One...

Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...

A cost-effective structure is sought whereby an institution can hedge its balance sheet against adverse market movements. Vanilla puts would suffice but it is generally very expensive if these puts are rolled on a continuous basis. An institution, however, might be willing to pay the intrinsic...

A cost-effective structure is sought whereby an institution can hedge its balance sheet against adverse market movements. Vanilla puts would suffice but it is generally very expensive if these puts are rolled on a continuous basis. An institution, however, might be willing to pay the intrinsic...