medium · FRM Part 1 Financial Markets and Products
An Up-and-In call and an Up-and-Out call are written on a non-dividend stock.
If the barrier is equal to the strike (H = K), and the option is currently at-the-money (S = K), which option would you expect to be more expensive?
- They must have equal value
- It depends on the volatility level
- The Up-and-Out call
- The Up-and-In call
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