hard · FRM Part 1 Valuation and Risk Models
An exotic option's value is often described as the 'partitioned' value of a vanilla.
If a trader buys an Up-and-In call and an Up-and-Out call with the same K and H, which Greek will be identical between this portfolio and the vanilla call?
- None, as barrier options have discontinuous Greeks.
- Only Delta
- Only Theta
- All Greeks (Delta, Gamma, Vega, Theta, Rho)
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